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Topic: correlation function
Replies: 5   Last Post: Nov 27, 2012 3:34 AM

 Messages: [ Previous | Next ]
 Bob Hanlon Posts: 906 Registered: 10/29/11
Re: correlation function
Posted: Nov 18, 2012 5:16 PM

Use ListConvolve

data = RandomReal[1000, RandomInteger[{20, 50}]];

n = Length[data]

41

Simplify[InverseFourier[Fourier[data]^2] ==
ListConvolve[data, data, {1, 1}]/Sqrt[n]]

True

Bob Hanlon

On Sun, Nov 18, 2012 at 3:56 AM, jure lapajne <lapajne.jure@gmail.com> wrote:
> Hello,
> I'm having hard time calculating correlation (autocorrelation) function of
> two lists (list). I'm trying two different ways of calculating it. One way
> is to use fourier transform and second way is to use Mathematica's function
> ListCorrelate. I get different results but have no idea why. Here's my code:
>
> korelacija1 = ListCorrelate[data, data, {1, 1}];
> korelacija11 = Abs[InverseFourier[Abs[Fourier[data]]^2]];
>
> All elements of "data" are real. I have two Abs in second line because for some reason InverseFourier returns small imaginary parts - I know it shouldn't. It's probably only numerical error.
>
> Thanks for help.
>

Date Subject Author
11/18/12 Bob Hanlon
11/21/12 Dana DeLouis
11/23/12 Jure
11/24/12 Dana DeLouis
11/27/12 Dana DeLouis