Normalizing correlation coefficients for sequences of unequal length without unnecessary zero padding
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I have 2 questions:
1. Can some one explain why normalization{unbiased} of cross-corelation coefficents is carried out? I want to understand this at an intuitive level and not a mathematical one.
2. I have written my own code to carry out cross corelation between 2 sequences. The sequences are of unequal length. The code has been written in such a way that only the longer sequence has to be zero padded and that to only to the length of the smaller sequence-1.
How am I supposed to carry out normalization in this case?
Kindly help me figure this out.
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Wayne King
2012-11-17
If you are estimating the autocorrelation of a random process or cross correlation of two wide sense stationary processes then you are just obtaining the estimate of the true autocorrelation or cross-correlation. The normalizations used in xcorr() 1/N and 1/(N-abs(lag)) are just two ways of constructing the sample expectation (as an estimate of the true expectation, which you cannot compute).
Just like 1/N in computing the mean represents the expectation operator. 1/N in the sample mean results in an unbiased estimate of the mean, for the cross-correlation sequence, you have to take into account the lag to come up with an unbiased estimate. Note that in time-series analysis, the biased estimate is actually preferred in many cases.
If you have different length input vectors, then you should not scale the output.
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更多回答(2 个)
Rohan
2012-11-17
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Greg Heath
2012-11-18
If I scale to get a peak of 1 for autocorrelation, I get a warm fuzzy feeling when I get 0.76 for crosscorrelation at zero lag because I think I know how similar the functions are.
If I don't scale to get a peak of 1 for autocorrelation, I have to look at both autocorrelation curves to try to interpret the crosscorrelation curve.
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