Pierre Antoine DuBoDeNa
2013-Feb-14 14:49 UTC
[R] pearson's correlation and cross-correlation issue
Hello, I want to compute the pearson's correlation, but even for signals that are shifted. For example having two signals like: 1 1 2 1 1 and 1 2 1 1 1 the correlation is very low.. but if we shift them in the right we get much better correlation. I know that cross-correlation is used to find the best offset (where correlation will be bigger). Is there any metric that can do this job all together? find best alignment.. shift and compute pearson's correlation? is that the same as lagged correlation? or phase correlation? If it has a particular name let me know.. and if there is any code for that. Best, Pierre [[alternative HTML version deleted]]