Get lag with cross-correlation?
14,727
See some examples first. Assume we are in unit tests class already.
# Autocorrelation.
y1 = [1, 1, 0, 0, 1, -1, -1]
corr, lag = cross_corr(y1, y1)
self.assertEqual(lag, 0)
y1 = [1, 1, 0 ,1, -1, -1]
y2 = [1, 0, 1, 0, 0, 2]
corr, lag = cross_corr(y1, y2)
self.assertEqual(lag, -2)
here is my code.
import numpy as np
def cross_corr(y1, y2):
"""Calculates the cross correlation and lags without normalization.
The definition of the discrete cross-correlation is in:
https://www.mathworks.com/help/matlab/ref/xcorr.html
Args:
y1, y2: Should have the same length.
Returns:
max_corr: Maximum correlation without normalization.
lag: The lag in terms of the index.
"""
if len(y1) != len(y2):
raise ValueError('The lengths of the inputs should be the same.')
y1_auto_corr = np.dot(y1, y1) / len(y1)
y2_auto_corr = np.dot(y2, y2) / len(y1)
corr = np.correlate(y1, y2, mode='same')
# The unbiased sample size is N - lag.
unbiased_sample_size = np.correlate(
np.ones(len(y1)), np.ones(len(y1)), mode='same')
corr = corr / unbiased_sample_size / np.sqrt(y1_auto_corr * y2_auto_corr)
shift = len(y1) // 2
max_corr = np.max(corr)
argmax_corr = np.argmax(corr)
return max_corr, argmax_corr - shift
Author by
Seanny123
I'm a Theoretical Neuroscientist turned Research Engineer. I enjoy writing, taking chances, making mistakes and getting messy. Tweet me to contact me.
Updated on August 02, 2022Comments
-
Seanny123 over 1 year
Let's say have have two signals:
import numpy dt = 0.001 t_steps = np.arange(0, 1, dt) a_sig = np.sin(2*np.pi*t_steps*4+5) b_sig = np.sin(2*np.pi*t_steps*4)
I want to shift the first signal to match the second signal. I know this can be completed using cross-correlation, as evidenced by Matlab, but how do I accomplish this with SciPy.
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Alex Ramses over 3 yearsIs it possible for this to work with
y1
andy2
with different length like in MATLAB. -
Albert Chen over 3 years@AlexRamses Sure. It is possible. But the question is where do you want them to be aligned (position of lag=0)? Left end, right end, middle? It's a little bit tricky, so I didn't do that.