xcov

Parameters

x: a vector of real or complex floating point numbers.
y: a vector of real or complex floating point numbers. The default value is x.
maxlags: a scalar with integer value greater than 1. The default value is n. Where n is the maximum of the x and y vector length.
scaling: a character string with possible value: "biased", "unbiased", "coeff", "none". The default value is "none".
c: a vector of real or complex floating point numbers with same orientation as x.
lagindex: a row vector, containing the lags index corresponding to the c values.

Description

c=xcov(x) computes the un-normalized discrete covariance: and return in c the sequence of covariance lags with n is the length of x
xcov(x,y) computes the un-normalized discrete cross covariance: and return in c the sequence of cross covariance lags with n is the maximum of x and y length's.

If the maxlags argument is given xcov returns in c the sequence of covariance lags . If maxlags is greater than length(x), the first and last values of c are zero.

The scaling argument decribes how is normalized before being returned in c:

"biased":c=/n.
"unbiased":c=./(n-(-maxlags:maxlags)).
"coeff":c=/(norm(x)*norm(y)).

Remark

The corr function computes the "biased" covariance of x and y and only return in c the sequence of covariance lags

.

Method

This function computes

using xcorr(x-mean(x),y-mean(y),...).

Examples

t = linspace(0, 100, 2000);
                y = 0.8 * sin(t) + 0.8 * sin(2 * t);
                [c, ind] = xcov(y, "biased");
                plot(ind, c)