Howtosignalprocessing
- What is maximum cross-correlation?
- What is lag in cross-correlation?
- How do you interpret cross-correlation results?
- When can cross-correlation be considered as auto correlation?
What is maximum cross-correlation?
Cross-correlation is generally used when measuring information between two different time series. The possible range for the correlation coefficient of the time series data is from -1.0 to +1.0.
What is lag in cross-correlation?
The lag refers to how far the series are offset, and its sign determines which series is shifted. Note that as the lag increases, the number of possible matches decreases because the series “hang out” at the ends and do not overlap.
How do you interpret cross-correlation results?
If the slope is positive, the cross correlation is positive; if there is a negative slope, the cross correlation is negative. This helps to identify important lags (or leads) in the process and is useful for application when there are predictors in an ARIMA model.
When can cross-correlation be considered as auto correlation?
Cross correlation happens when two different sequences are correlated. Autocorrelation is the correlation between two of the same sequences. In other words, you correlate a signal with itself.
