movcorr(x, y, k, varargin): Compute windowed correlation coefficient

Version 1.4.0.0 (10.9 KB) by David J. Mack

Compute a moving correlation for two vectors x & y in analogy to the MOV* functions.

2.1K Downloads

Updated 14 Dec 2017

Computes the Pearson product-moment correlation coefficient r over a moving window for two vectors x & y. This is
basically a wrapper to MOVSUM and the low-memory overhead computation of r. See second formula in
https://en.wikipedia.org/wiki/Pearson_correlation_coefficient#For_a_sample

Cite As

David J. Mack (2024). movcorr(x, y, k, varargin): Compute windowed correlation coefficient (https://www.mathworks.com/matlabcentral/fileexchange/65342-movcorr-x-y-k-varargin-compute-windowed-correlation-coefficient), MATLAB Central File Exchange. Retrieved November 22, 2024.

MATLAB Release Compatibility

Created with R2015a

Compatible with any release

Platform Compatibility

Windows macOS Linux

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movcorr(x, y, k, varargin)

Version	Published	Release Notes
1.4.0.0	14 Dec 2017	[MOD] - Now returns NaN for zero-variances, to be consistent with CORR.	Download
1.3.0.0	14 Dec 2017	[ADD] - Output n to return the local window sizes (useful for computing partial correlations). - Name-value input 'MinN' to control how many samples are needed in a local window to compute r.	Download
1.2.0.0	11 Dec 2017	Fix in input parser. [ADD] - Name-value input 'Tail' and according p-value output. [MOD] - Now uses INPUTPARSER. Changes error messages for invalid inputs. [FIX] - Erroneous window size computation when using k = [nB, nF]. - Complex output when using numeric endpoints.	Download
1.1.0.0	7 Dec 2017	Forgot file update Computation of r with NaNs + omitnan flag now gives same results as CORR(...,'Rows','pairwise').	Download
1.0.0.0	7 Dec 2017	Added ML-FEX ID to description.	Download