xcov and xcorr in Matlab

Matlab provides xcorr to calculate the cross/auto-correlation of two/one random variables.


will calculate the cross-correlation of x and y using

Here “coeff” optional keyword is used to normalize the result with L2-norm.


calculates the cross-variance of x and y using

Here “coeff” keyword will normalize the result with the variance of X and Y. The factor \frac{N-1}{N} comes from the unbiased variance



About cgao

Cambridge, MA
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