Interpretation of cross-correlation and cross-covariance plots

November 6, 2009 6:56 AM

How to interpret certain features?

I am looking for some help regarding interpretation of both cross-correlation and cross-covariance plots.

Namely, I have been struggling with these features:

* sudden negative spike immediately followed by positive spike
* broad ('smeared') bulge
* oscillation of the plot (i.e. the trace somewhat resembling a sine)
* ondulation of the trace (think of it as if you were writing u's continuously)

I have been going through google over and over again, but to no avail. Are there any good sources/books/etc. that deal with actual interpretation of cross-correlation and cross-covariance plots?

BONUS question: to what extent can cross-correlation and cross-covariance be treated as a representation of impulse response function?


Any thoughts will be appreciated.

posted by noztran to science & nature