"G. Anthony Reina" wrote:
> I'm looking for a way to show how two continuous signals are correlated
> over time. In other words, if x(t) and y(t) are correlated signals (with
> some phase lag between them), does that correlation change over time?
> (and if so, then how does it vary)
Depending on the kind of process you are dealing with the correlation can
stay constant or will change during measurements.
>
>
> What I'd ideally like to get is something like the spectrogram except
> instead of frequency vs time, the axes would be correlation vs. lag vs.
> time.
>
> The most obvious solution I've thought of is to use a sliding window on
> each signal to evalute the cross-correlation (at different lags) over
> small epochs. I'm wondering if there are other more elegant solutions
> out there.
>
Most of the programs dealing with signal processing (Matlab, Labview,...)
have standard a cross - correlation (Rxy) function. It's not necessary to
program it by yourself.
If you deal with a non-stationairy process, splitting up the sequence is
indeed not a bad idea, put in most of the cases you will be satisfied with
the analyse of the total sequence.
>
> I'd appreciate any advice on the subject.
>
> Thanks.
> -Tony Reina
I hope I've helped you a little bit,
Koen Maertens
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