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| Author: | kimon [ Mon Nov 08, 2010 3:49 pm ] |
| Post subject: | example of corrr1d |
I cannot find any example of cross correlation analysis using alglib::corrr1d. On my first attempt it seems that the results need to be normalized using some factor. Could it be? Thanks Kimon |
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| Author: | Sergey.Bochkanov [ Mon Nov 08, 2010 5:03 pm ] |
| Post subject: | Re: example of corrr1d |
That depends on problem you want to solve. Discrete cross-correlation is just a sum of products, without any normalization factor. But if your data are actually values of some function sampled with some interval, then you may need to multiply cross-correlation coefficient by some scaling factor which is proportional to the sampling step. |
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