相关系数,协方差,协相关系数,同步,对齐
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Cross-covariance
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Cross-correlation
In signal processing,
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In time series analysis, as applied in statistics, the cross-correlation between two time series is the normalized cross-covariance function.
Cross correlation coefficient
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where \(\mu _{X}\) and \(\sigma _{X}\) are the mean and standard deviation of the process \((X_{t})\), which are constant over time due to stationarity; and similarly for \((Y_{t})\), respectively. That the cross-covariance and cross-correlation are independent of \(t\) is precisely the additional information (beyond being individually wide-sense stationary) conveyed by the requirement that {\displaystyle (X_{t},Y_{t})} {\displaystyle (X_{t},Y_{t})} are jointly wide-sense stationary.
Cross correlation (pearson)
Covariance
coefficient of determination