Sample cross-correlation
crosscorr(
plots the cross-correlation function (XCF) between the two univariate, stochastic time series y1
,y2
)y1
and y2
with confidence bounds.
crosscorr(
uses additional options specified by one or more name-value pair arguments. For example, y1
,y2
,Name,Value
)crosscorr(y1,y2,'NumLags',10,'NumSTD',2)
plots the sample XCF of y1
and y2
for 10
lags and displays confidence bounds consisting of 2
standard errors.
returns the sample XCF of xcf
= crosscorr(___)y1
and y2
using any of the input arguments in the previous syntaxes.
crosscorr(
plots on the axes specified by ax
,___)ax
instead
of the current axes (gca
). ax
can precede any of the input
argument combinations in the previous syntaxes.
If y1
and y2
have different lengths, then MATLAB appends enough zeros to the end of the shorter vector to make both vectors the same size.
crosscorr
uses a Fourier transform to compute the XCF in the frequency domain, then converts back to the time domain using an inverse Fourier transform.
crosscorr
plots the XCF when you do not request any output or when you request the fourth output.
[1] Box, G. E. P., G. M. Jenkins, and G. C. Reinsel. Time Series Analysis: Forecasting and Control. 3rd ed. Englewood Cliffs, NJ: Prentice Hall, 1994.