[Numpy-discussion] Numpy correlate

Sudheer Joseph sudheer.joseph@yahoo....
Thu Mar 14 04:18:01 CDT 2013


Dear Numpy/Scipy experts,
                                              Attached is a script which I made to test the numpy.correlate ( which is called py plt.xcorr) to see how the cross correlation is calculated. From this it appears the if i call plt.xcorr(x,y)
Y is slided back in time compared to x. ie if y is a process that causes a delayed response in x after 5 timesteps then there should be a high correlation at Lag 5. However in attached plot the response is seen in only -ve side of the lags.
Can any one advice me on how to see which way exactly the 2 series are slided back or forth.? and understand the cause result relation better?( I understand merely by correlation one cannot assume cause and result relation, but it is important to know which series is older in time at a given lag.


with best regards,
Sudheer   
 
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Sudheer Joseph 
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