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xcov

PURPOSE ^

% error: [c, lag] = xcov (X [, Y] [, maxlag] [, scale])

SYNOPSIS ^

function [retval, lags] = xcov (X, Y, maxlag, scale)

DESCRIPTION ^

% error: [c, lag] = xcov (X [, Y] [, maxlag] [, scale])
%
% Compute covariance at various lags [=correlation(x-mean(x),y-mean(y))].
%
% X: input vector
% Y: if specified, compute cross-covariance between X and Y,
% otherwise compute autocovariance of X.
% maxlag: is specified, use lag range [-maxlag:maxlag], 
% otherwise use range [-n+1:n-1].
% Scale:
%    'biased'   for covariance=raw/N, 
%    'unbiased' for covariance=raw/(N-|lag|), 
%    'coeff'    for covariance=raw/(covariance at lag 0),
%    'none'     for covariance=raw
% 'none' is the default.
%
% Returns the covariance for each lag in the range, plus an 
% optional vector of lags.

CROSS-REFERENCE INFORMATION ^

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