Cross-correlation matrix: Difference between revisions

Revision as of 20:41, 19 August 2013

Revision as of 16:28, 4 December 2013

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

where <math>\operatorname{corr}</math> is described in the article on [[correlation]]. In this definition, it has been assumed that the stochastic variable is scalar-valued. If it is not, then more complicated correlation functions can be defined. For example, if one has a vector ''X''_''i''(''s''), thenis onea canvector, definethen thea matrix of correlation functions is defined as

:<math>C_{ij}(s,s') = \operatorname{corr}( X_i(s), X_j(s') )</math>