I'm looking for a way to show how two continuous signals are correlated
over time. In other words, if x(t) and y(t) are correlated signals (with
some phase lag between them), does that correlation change over time?
(and if so, then how does it vary)
What I'd ideally like to get is something like the spectrogram except
instead of frequency vs time, the axes would be correlation vs. lag vs.
time.
The most obvious solution I've thought of is to use a sliding window on
each signal to evalute the cross-correlation (at different lags) over
small epochs. I'm wondering if there are other more elegant solutions
out there.
I'd appreciate any advice on the subject.
Thanks.
-Tony Reina
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