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Diffstat (limited to 'macros/xcorr1.sci')
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diff --git a/macros/xcorr1.sci b/macros/xcorr1.sci new file mode 100644 index 0000000..6ae884d --- /dev/null +++ b/macros/xcorr1.sci @@ -0,0 +1,86 @@ +function [R, lag] = xcorr1 (X, Y, maxlag, scale) +//Estimates the cross-correlation. +//Calling Sequence +//[R, lag] = xcorr1 (X, Y, maxlag, scale) +//[R, lag] = xcorr1 (X, Y, maxlag) +//[R, lag] = xcorr1 (X, Y) +//Parameters +//X: [non-empty; real or complex; vector or matrix] data. +//Y: [real or complex vector] data. +// If X is a matrix (not a vector), Y must be omitted. Y may be omitted if X is a vector; in this case xcorr estimates the autocorrelation of X. +//maxlag: [integer scalar] maximum correlation lag If omitted, the default value is N-1, where N is the greater of the lengths of X and Y or, if X is a matrix, the number of rows in X. +//scale: [character string] specifies the type of scaling applied to the correlation vector (or matrix). is one of: +// ‘none’ - return the unscaled correlation, R, +//‘biased’ - return the biased average, R/N, +//‘unbiased’ - return the unbiased average, R(k)/(N-|k|), +//‘coeff’ - return the correlation coefficient, R/(rms(x).rms(y)), where "k" is the lag, and "N" is the length of X. If omitted, the default value is "none". If Y is supplied but does not have the same +// length as X, scale must be "none". +//Description +//This is an Octave function. +//Estimate the cross correlation R_xy(k) of vector arguments X and Y or, if Y is omitted, estimate autocorrelation R_xx(k) of vector X, for a range of lags k specified by argument "maxlag". If X is a +//matrix, each column of X is correlated with itself and every other column. +// +//The cross-correlation estimate between vectors "x" and "y" (of length N) for lag "k" is given by +// +// N +// R_xy(k) = sum x_{i+k} conj(y_i), +// i=1 +// +//where data not provided (for example x(-1), y(N+1)) is zero. Note the definition of cross-correlation given above. To compute a cross-correlation consistent with the field of statistics, see xcov. +//Examples +//[R, lag] = xcorr1 ( [5 5], [2 2], 2, 'biased' ) +// +//R = +// +// 0 5 10 5 0 +// +//lag = +// +// -2 -1 0 1 2 + +funcprot(0); +lhs = argn(1) +rhs = argn(2) +if (rhs < 1 | rhs > 4) +error("Wrong number of input arguments.") +end + +select(rhs) + + case 2 then + if(lhs==1) + R = callOctave("xcorr", X) + elseif(lhs==2) + [R, lag] = callOctave("xcorr", X) + else + error("Wrong number of output argments.") + end + + case 2 then + if(lhs==1) + R = callOctave("xcorr", X, Y) + elseif(lhs==2) + [R, lag] = callOctave("xcorr", X, Y) + else + error("Wrong number of output argments.") + end + + case 3 then + if(lhs==1) + R = callOctave("xcorr", X, Y, maxlag) + elseif(lhs==2) + [R, lag] = callOctave("xcorr", X, Y, maxlag) + else + error("Wrong number of output argments.") + end + case 4 then + if(lhs==1) + R = callOctave("xcorr", X, Y, maxlag, scale) + elseif(lhs==2) + [R, lag] = callOctave("xcorr", X, Y, maxlag, scale) + else + error("Wrong number of output argments.") + end + + end +endfunction |