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Re: [Help-gsl] Cross correlation using FFT
From: |
Brian Gough |
Subject: |
Re: [Help-gsl] Cross correlation using FFT |
Date: |
Fri, 21 Sep 2007 10:32:32 +0100 |
User-agent: |
Wanderlust/2.14.0 (Africa) Emacs/22.1 Mule/5.0 (SAKAKI) |
At Wed, 19 Sep 2007 18:39:24 -0400,
Saurav Pathak wrote:
> All is well, and I seem to be getting there except that the
> correlations are not normalized properly. For example, c[0] =
> 111.899 when x and y are identical series of random numbers
> with a stadard normal distribution. It should be 1.0.
> I have checked the result against ccf in R.
>
> What am I missing here? Thank you for your tips and comments
> in advance.
Hello,
The definitions for the FFT and inverse FFT normalisation can be found
the in reference manual. Presumably there is a 1/N or 1/sqrt(N)
factor different in the definitio.
--
Brian Gough
(GSL Maintainer)
Network Theory Ltd,
Publishing the GSL Manual - http://www.network-theory.co.uk/gsl/manual/