Interpretation of cross-correlation and cross-covariance plots
November 6, 2009 6:56 AM Subscribe
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.
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.
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