[Numpy-discussion] Definition of correlation, correlate and so on ?
Alan G Isaac
aisaac at american.edu
Tue Dec 12 08:40:02 CST 2006
> On 12/12/06, David Cournapeau <david at ar.media.kyoto-u.ac.jp> wrote:
>> 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
On Tue, 12 Dec 2006, Charles R Harris apparently wrote:
> Neither have I, it is one of those oddities that may have
> been inherited from Numeric. I wouldn't mind seeing it
> changed but it is probably a bit late for that.
I hope that "too late" is not a determining argument!
I hope the argument will address the following:
- was there a justification for the extant behavior? If so,
what was it, and does it still seem valid?
- is the current definition reasonable; does it match
definitions in use in at least some domain?
http://mathworld.wolfram.com/Cross-Correlation.html
http://en.wikipedia.org/wiki/Cross-correlation
- if not, is this behavior so unexpected as to be considered
a bug?
- are many existing applications depending on it?
The worst case is:
it is a bug, but many existing users depend on the current behavior.
I am not taking a position, but that seems the current view on this list.
I hope that *if* that is the assessment, then a transition
path will be plotted. For example, a keyword could be
added, with a proper default, and a warning emitted when it
is not set.
Cheers,
Alan Isaac
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