How can I calculate the rolling cross covariance of two vectors in MATLAB 7.8 (R2009a)?

I would like to calculate the rolling cross covariance of two vectors:

where R_i is the running cross correlation of two signals centered with i-th time with the window length (-n, n).

Answer 1

[MathWorks Support Team]

A function to compute the rolling cross covariance as defined in your equation is not available in MATLAB 7.8 (R2009a).

As a workaround you can consider two possible implementations:

1) Use a FOR loop and apply the MATLAB CORRCOEF function iteratively on your signals.

2) Build a function that implements the rolling cross covariance by using vectorized operations.

Both approaches are called in the attached scripts.m file. The second approach is implemented in the rollingCorr function.