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I have two lists with some data.


Now I want to compute the cross correlation of the two lists with a time lag of 1, like it is mentioned on wikipedia:

The only function I found in mathematica is CorrelationFunction, but this one seems to only compute the autocorrelation of a lists with itself. So I was wondering if there is another function or how do do this. Can anybody help me out?

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up vote 3 down vote accepted

You can do the cross-correlation between two sequences using ListCorrelate

a = {1, 2, 3, 4, 5};
b = {5, 4, 3, 2, 1};
ListCorrelate[a, b, 1]

This does circular correlation, so you may want to look at the options to get the exact calculation you are looking for.

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Try this:

a.RotateLeft[b, 1]

For any other time delay $k$, use a.RotateLeft[b, k] instead.

If the lists are extremely long and you are trying to compute the cross-correlation with a variety of delays, you can look into an FFT-based convolutive method.

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Related to your question: If you wish to do general cross-correlation (not with a fixed lag of 1), you can use the following functions:

xcorrlag[dat1_, dat2_] := Position[#, Max@#] &[xcorr[dat1, dat2]] - Length[dat1]
xcorr[dat1_, dat2_] := ListCorrelate[dat1, dat2, {-1, 1}, 0]
xcorr[dat_] := xcorr[dat, dat]

Here, xcorr called with a single Listas an argument will calculate the auto-correlation. With 2 Lists, it will do cross-correlation.

The function xcorrlagwill return the lag at which the largest cross-correlation does occur - useful if you wish to figure out by how much one signal might be delayed versus the other signal.

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