Re: [Matplotlib-users] cross correlation

[Sudheer J. <sud...@ya...>]

Thank you Pierre.
 with best regards,
Sudheer
From: Pierre Haessig <pie...@cr...>
To: 
Cc: "mat...@li..." <mat...@li...> 
Sent: Thursday, 28 February 2013 7:15 PM
Subject: Re: [Matplotlib-users] cross correlation
 
Hi,

Le 27/02/2013 10:01, Sudheer Joseph a écrit :
> I was checking the plt.xcorr and it calls the np.correlate in side it.
> It calls np.correlate(ts1,ts2, mode=2).
Just as a side note, mode=2 is the old fashioned way to specify
mode='full' [1]. This may help in reading the numpy.correlate doc.

This being said, I'm really unfamiliar with cross-correlations. I just
kind of know the usual 95% confidence interval for autocorrelation at
1.96/sqrt(n). Just as a quick check, this is what R uses by default, but
there are options like ci.type get more appropriate intervals for an MA
series
(http://stat.ethz.ch/R-manual/R-patched/library/stats/html/plot.acf.html)

best,
Pierre

[1] https://github.com/numpy/numpy/blob/master/numpy/core/numeric.py#L678


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