Re: [Help-gsl] Cross correlation using FFT

[Brian Gough]

At Wed, 19 Sep 2007 18:39:24 -0400,
Saurav Pathak wrote:

> All is well, and I seem to be getting there except that the
> correlations are not normalized properly.  For example, c[0] =
> 111.899 when x and y are identical series of random numbers
> with a stadard normal distribution.  It should be 1.0.  
> I have checked the result against ccf in R.
> 
> What am I missing here?  Thank you for your tips and comments
> in advance.  

Hello,

The definitions for the FFT and inverse FFT normalisation can be found
the in reference manual.  Presumably there is a 1/N or 1/sqrt(N)
factor different in the definitio.

-- 
Brian Gough
(GSL Maintainer)

Network Theory Ltd,
Publishing the GSL Manual - http://www.network-theory.co.uk/gsl/manual/