[Numpy-discussion] Problem with correlate

[Ryan May]

On Thu, Jun 4, 2009 at 5:14 AM, David Cournapeau <cournape at gmail.com> wrote:

> 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 ?


It would fill mine.  Would it make sense to make y default to x, so that you
can use xcorr to do the autocorrelation as:

xcorr(x)

?

Ryan

-- 
Ryan May
Graduate Research Assistant
School of Meteorology
University of Oklahoma
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