Too high correlation value from xcorr and corrcoef for uncorelated sequences
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I have two time series both of length 5604. The data is in the attachment (data.csv). The first column is the first time series, the second column is the second time series.
Now I have calculated the correlation of the series in the following way:
in = csvread('data.csv')
a = in(:,1);
b = in(:,2);
[corr, pval] = corrcoef(a,b);
pval = min(pval(:));
[corr2, ~] = xcorr(a,b,'coeff');
corr2 = max(corr2);
For corr and pval I'm getting 0.5 and 0, respectively, and for corr2 I'm getting 0.92. But when I'm looking at the plot of both time series there should be no correlation at all (see plot below).
Why do I getting such high correlation values (and such low p-value)?
dpb on 26 Aug 2018
Ah, but there is quite a lot of correlation; remember it's not the magnitude of the values that matters, it's only whether they tend to "move together". To see this, try
yyaxis left, plot(dat(:,1))
to overlay the two data series on top of each other at a scale factor that makes them roughly match each other in mean amplitude. What this shows is pretty much the same overall trend and that even some of the substructure is similar; particularly there being a drop towards the RH end around 5000. But, mostly what the correlation is measuring is the overall trend.
To see this,
which is probably much more like what you were expecting.
More Answers (1)
SCBT BIOENG Raghavv Raghavender Suresh on 4 Apr 2019
I am writing a matlab Code to check the similarity between 2 ECG signals. I have filtered the ECG signals by removing the high frequency noise and removing the baseline wandering.
I have used Xcorr to check the similarity between the two ECG signals. In the y axis I am getting some values greater than 1.
Can someone please let me know what the values on y axis are?
I have attached my correlated output signal.