[Numpy-discussion] Problem with correlate

[David Cournapeau]

On Tue, Jun 2, 2009 at 10:56 PM, Ryan May <rmay31 at gmail.com> wrote:
> On Tue, Jun 2, 2009 at 5:59 AM, David Cournapeau
> <david at ar.media.kyoto-u.ac.jp> wrote:
>>
>> Robin wrote:
>> > On Tue, Jun 2, 2009 at 11:36 AM, David Cournapeau <cournape at gmail.com>
>> > wrote:
>> >
>> >> Done in r7031 - correlate/PyArray_Correlate should be unchanged, and
>> >> acorrelate/PyArray_Acorrelate implement the conventional definitions,
>> >>
>> >
>> > I don't know if it's been discussed before but while people are
>> > thinking about/changing correlate I thought I'd like to request as a
>> > user a matlab style xcorr function (basically with the functionality
>> > of the matlab version).
>> >
>> > I don't know if this is a deliberate emission, but it is often one of
>> > the first things my colleagues try when I get them using Python, and
>> > as far as I know there isn't really a good answer. There is xcorr in
>> > pylab, but it isn't vectorised like xcorr from matlab...
>> >
>>
>> There is one in the talkbox scikit:
>>
>>
>> http://github.com/cournape/talkbox/blob/202135a9d848931ebd036b97302f1e10d7488c63/scikits/talkbox/tools/correlations.py
>>
>> It uses the fft, and bonus point, the file is independent of the rest of
>> toolbox. There is another version which uses direct implementation (this
>> is faster if you need only a few lags, and it takes less memory too).
>
> I'd be +1 on including something like this (provided it expanded to include
> complex-valued data).  I think it's a real need, since everyone seems to
> keep rolling their own.  I had to write my own just so that I can calculate
> a few lags in a vectorized fashion.

The code in talkbox is not good enough for scipy. I made an attempt
for scipy.signal here:

http://github.com/cournape/scipy3/blob/b004d17d824f1c03921d9663207ee40adadc5762/scipy/signal/correlations.py

It is reasonably fast when only a few lags are needed, both double and
complex double are supported, and it works on arbitrary axis and lags.
Other precisions should be easy to add, but I think I need to extend
the numpy code generators to support cython sources to avoid code
duplication.

Does that fill your need ?

cheers,

David