[Numpy-discussion] Definition of correlation, correlate and so on ?
David Cournapeau
david at ar.media.kyoto-u.ac.jp
Tue Dec 12 01:49:30 CST 2006
Hi,
I am polishing some code to compute autocorrelation using fft, and
when testing the code against numpy.correlate, I realised that I am not
sure about the definition... There are various function related to
correlation as far as numpy/scipoy is concerned:
numpy.correlate
numpy.corrcoef
scipy.signal.correlate
For me, the correlation between two sequences X and Y at lag t is
the sum(X[i] * Y*[i+lag]) where Y* is the complex conjugate of Y.
numpy.correlate does not use the conjugate, scipy.signal.correlate as
well, and I don't understand numpy.corrcoef. I've never seen complex
correlation used without the conjugate, so I was curious why this
definition was used ? It is incompatible with the correlation as a
scalar product, for example.
Could someone give the definition used by those function ?
cheers,
David
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