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Re: A tiny problem ...


From: Kire Pudsje
Subject: Re: A tiny problem ...
Date: Thu, 4 May 2017 02:58:45 +0200



On Wed, May 3, 2017 at 7:58 PM, Dr.-Ing. Dieter Jurzitza <address@hidden> wrote:
Hello Kire,
hello Doug,
thank you for the feedback and for taking the time to reply.

It does not look like I have overlooked a vectorizing option in the code I
wrote, though - according to your input Kire - there might be a way to do this
in the frequency domain what could be faster because the number of iterations
could be reduced.

Honestly speaking I did not understand what Doug was suggesting ...

But anyway, the code runs - though a little slower than it could probably be
running, and the results I get are the way I expected them to be.
Regards
Have a look at https://en.wikipedia.org/wiki/Autocorrelation#Efficient_computation
which shows it for autocorrelation. From there it is a small step to covariance.
There are two tricks involved:
A convolution in time domain is just a multiplication in the frequency domain.
A time shift will become an exponential in the frequency domain.


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