convention in numpy.correlate?
6 Sep
2006
6 Sep
'06
12:57 a.m.
Folks, I need to compute some crosscorrelations between time series, and I naturally started to use numpy.correlate. Howver, I'm not sure about the convention being used: The crosscorrelation is usually defined as $\gamma_{xy}[k] = \sum_{i}{x[i] y[i+k]}$ So, when I compute
numpy.dot(x[:1],y[1:])
on two 1D series of same size $n$, I should have $\gamma[1]$. With numpy.correlate, I have to use
numpy.correlate(x,y,'full')[(n1)1]
or reverse x and y to get $\gamma[1]$ Is that correct ? P.
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