w - correlation
Computes w - correlations (Golyandina, et.al. 2001) from a matrix containing reconstructed components in its columns.
A matrix containing reconstructed components in its columns.
The window length, may be omitted in case of complete set of reconstructed components.
W - correlation can be used to examine whether reconstructed components (RC) are independent (uncorrelated) or not. This is useful in signal to noise enhancement. RC being correlated to a high degree are assumed to correspond to the same signal.
A suqare matrix containing the w - correlations.
Golyandina, N.; Nekrutkin, V. & Zhiglkilavskifi, A. Analysis of Time Series Structure: SSA and Related Techniques. CRC Press, 2001
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