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Re: [Help-gsl] Cross correlation using FFT

From: Brian Gough
Subject: Re: [Help-gsl] Cross correlation using FFT
Date: Fri, 21 Sep 2007 10:32:32 +0100
User-agent: Wanderlust/2.14.0 (Africa) Emacs/22.1 Mule/5.0 (SAKAKI)

At Wed, 19 Sep 2007 18:39:24 -0400,
Saurav Pathak wrote:

> All is well, and I seem to be getting there except that the
> correlations are not normalized properly.  For example, c[0] =
> 111.899 when x and y are identical series of random numbers
> with a stadard normal distribution.  It should be 1.0.  
> I have checked the result against ccf in R.
> What am I missing here?  Thank you for your tips and comments
> in advance.  


The definitions for the FFT and inverse FFT normalisation can be found
the in reference manual.  Presumably there is a 1/N or 1/sqrt(N)
factor different in the definitio.

Brian Gough
(GSL Maintainer)

Network Theory Ltd,
Publishing the GSL Manual -

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