movcorr(x, y, k, varargin): Compute windowed correlation coefficient

Version 1.4.0.0 (10.9 KB) by David J. Mack
Compute a moving correlation for two vectors x & y in analogy to the MOV* functions.
5.0
(2)
2.3K Downloads
Updated 14 Dec 2017

View License

Computes the Pearson product-moment correlation coefficient r over a moving window for two vectors x & y. This is
basically a wrapper to MOVSUM and the low-memory overhead computation of r. See second formula in
https://en.wikipedia.org/wiki/Pearson_correlation_coefficient#For_a_sample

Cite As

David J. Mack (2026). movcorr(x, y, k, varargin): Compute windowed correlation coefficient (https://ch.mathworks.com/matlabcentral/fileexchange/65342-movcorr-x-y-k-varargin-compute-windowed-correlation-coefficient), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2015a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Tags Add Tags

Version Published Release Notes
1.4.0.0

[MOD]
- Now returns NaN for zero-variances, to be consistent with CORR.
1.3.0.0

[ADD]
- Output n to return the local window sizes (useful for computing partial correlations).
- Name-value input 'MinN' to control how many samples are needed in a local window to compute r.
1.2.0.0

Fix in input parser.
[ADD]
- Name-value input 'Tail' and according p-value output.
[MOD]
- Now uses INPUTPARSER. Changes error messages for invalid inputs.
[FIX]
- Erroneous window size computation when using k = [nB, nF].
- Complex output when using numeric endpoints.
1.1.0.0

Forgot file update
Computation of r with NaNs + omitnan flag now gives same results as CORR(...,'Rows','pairwise').
1.0.0.0

Added ML-FEX ID to description.