Cross-correlation matrix: Difference between revisions

Revision as of 21:14, 22 July 2016

Revision as of 21:17, 22 July 2016

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:<math>C(s,t) = \operatorname{corr} ( X(s), Y(t) ) ,</math>

where <math>\operatorname{corr}</math> is described in the article on [[correlation]]. In this definition, it has been assumed that the stochastic variables are scalar-valued. If they are not, then more complicated correlation functions can be defined. For example, if ''X''(''s'') is a [[rowrandom and column vectors|vector]] with ''n'' elements and ''Y''(t) is a vector with ''q'' elements, then an ''n''×''q'' matrix of correlation functions is defined with <math>i,j</math> element

:<math>C_{ij}(s,t) = \operatorname{corr}( X_i(s), Y_j(t) ).</math>