Hi, Le 27/02/2013 10:01, Sudheer Joseph a écrit : > I was checking the plt.xcorr and it calls the np.correlate in side it. > It calls np.correlate(ts1,ts2, mode=2). Just as a side note, mode=2 is the old fashioned way to specify mode='full' [1]. This may help in reading the numpy.correlate doc.
This being said, I'm really unfamiliar with cross-correlations. I just kind of know the usual 95% confidence interval for autocorrelation at 1.96/sqrt(n). Just as a quick check, this is what R uses by default, but there are options like ci.type get more appropriate intervals for an MA series (http://stat.ethz.ch/R-manual/R-patched/library/stats/html/plot.acf.html) best, Pierre [1] https://github.com/numpy/numpy/blob/master/numpy/core/numeric.py#L678
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