Re: cross correlation/covariance function?

[Bill Lash]

Do the cor() and cov() functions from the statistics section do what you
want?  These are available in at least 2.1.34.  I am not sure whether they
were available in the 2.0.x series or not.

octave:9> help cov
cov is the user-defined function from the file
/home/tlabat-4/lash/progs/share/octave/2.1.34/m/statistics/base/cov.m

 - Function File:  cov (X, Y)
     If each row of X and Y is an observation and each column is a
     variable, the (I,J)-th entry of `cov (X, Y)' is the covariance
     between the I-th variable in X and the J-th variable in Y.  If
     called with one argument, compute `cov (X, X)'.



Additional help for built-in functions, operators, and variables
is available in the on-line version of the manual.  Use the command
`help -i <topic>' to search the manual index.

Help and information about Octave is also available on the WWW
at http://www.che.wisc.edu/octave/octave.html and via the
address@hidden mailing list.

Bill Lash
address@hidden


"E. Joshua Rigler" wrote:
> 
> What I need to do is calculate the cross-covariance vector between two
> time series, in a similar manner to the autocov.m function in the signal
> processing toolbox, except allowing for negative lag times.  I can
> certainly write my own function, using any of a number of different
> methods, but it seems to me that this is something that would be
> available by default in Octave (although have to admit, it doesn't
> appear as though Matlab has such a function either).
> 
> Do I need to write my own function?  Does anyone know of a quick and
> simple "trick"?  Am I crazy for expecting this kind of functionality by
> default?
> 
> -EJR
> 
> -------------------------------------------------------------
> Octave is freely available under the terms of the GNU GPL.
> 
> Octave's home on the web:  http://www.octave.org
> How to fund new projects:  http://www.octave.org/funding.html
> Subscription information:  http://www.octave.org/archive.html
> -------------------------------------------------------------



-------------------------------------------------------------
Octave is freely available under the terms of the GNU GPL.

Octave's home on the web:  http://www.octave.org
How to fund new projects:  http://www.octave.org/funding.html
Subscription information:  http://www.octave.org/archive.html
-------------------------------------------------------------