# CROSSCOR

## Purpose:

Macro. Performs
a time domain cross-correlation of a series.

## Syntax:

CROSSCOR(series1,
series2)

series1 |
- |
A series. |

series2 |
- |
A series. |

## Returns:

A table or series.

## Expansion:

CONV(S1,REVERSE(S2)/(SERSIZE(S1)+SERSIZE(S2))

## Example:

W1: gsin(128, 1/128, 4.0)

W2: gsin(128, 1/128, 4.0)

W3: crosscor(W1, W2)

performs a cross-correlation of two sine
waves.

## Example:

W1: grand(128, 1/128)

W2: gsin(128, 1/128, 4.0)

W3: crosscor(W1, W2)

performs the cross-correlation of a sine
wave with a random series.

## Remarks:

CROSSCOR calculates the cross-correlation
directly in the time domain via convolution without normalization. Use
XCORR for a time domain version that
supports normalization and FXCORR
for a frequency domain implementation.

The cross-correlation function is often
used to indicate how "similar" one waveform is to another. The
cross-correlation of the above sine waves returns a waveform with several
distinct peaks, indicating that the two series are very similar at each
point in time where the peaks occur.

The cross-correlation of the random series
with the sine wave results in a waveform with some peaks, but the amplitude
of the waveform is considerably reduced (try OVERPLOT), indicating that
the two input series are very dissimilar.

## See Also:

AUTOCOR

CONV

FFT

FXCORR

PEARSON

XCORR