Is the result from xcorr(zscore(X),zscore(Y), 'coeff') the same as correlation coefficient for each lag position?

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Chalita 2018-9-11

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评论： Chalita 2018-9-15

I have 2 data sets (X and Y). Both have different units, so I standardized them by calculating zscores for each data set. I would like to get correlation coefficient (r) between the 2 data sets for each lag position. I'm trying to understand if xcorr(zscore(X),zscore(Y), 'coeff') gives me r for each lag position.

Thank you

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Answer 1

Naman Chaturvedi 2018-9-14

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Yes, you are correct. It does give the correlation coefficients for the every lag values. By using 'coeff' the following changes are made:-

xcorr(x,y,'coeff') = xcorr(x,y)/(sqrt(sum(abs(x).^2)*sum(abs(y).^2)))

Although, this xcorr(x,y,'coeff') is different from the pearson's definition of corr. coeff. in the sense that it doesn't subtract mean of x and y, your application will give the correct ans as the zscore already performs the normalization.

Check out the documentation for xcorr if you haven't already.

Hope this helps!