Cross- and auto-correlation

Example use of cross-correlation (xcorr) and auto-correlation (acorr) plots.

import matplotlib.pyplot as plt
import numpy as np

# Fixing random state for reproducibility
np.random.seed(19680801)


x, y = np.random.randn(2, 100)
fig, [ax1, ax2] = plt.subplots(2, 1, sharex=True)
ax1.xcorr(x, y, usevlines=True, maxlags=50, normed=True, lw=2)
ax1.grid(True)
ax1.set_title('Cross-correlation (xcorr)')

ax2.acorr(x, usevlines=True, normed=True, maxlags=50, lw=2)
ax2.grid(True)
ax2.set_title('Auto-correlation (acorr)')

plt.show()

References

The use of the following functions, methods, classes and modules is shown in this example:

• matplotlib.axes.Axes.acorr / matplotlib.pyplot.acorr

• matplotlib.axes.Axes.xcorr / matplotlib.pyplot.xcorr