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Owning Palette: Statistical Analysis VIs

Installed With: Advanced Signal Processing Toolkit

Computes the covariance matrix or correlation matrix of an input multivariate (vector) time series. Wire data to the Xt input to determine the polymorphic instance to use or manually select the instance.

Details  

Use the pull-down menu to select an instance of this VI.

Select an instance TSA Covariance (waveform)TSA Covariance (array)

TSA Covariance (waveform)

	Xt specifies the input multivariate (vector) time series.
	weighting specifies which variance to calculate. Options include Sample and Population. The default is Sample. Refer to the Details section for information about how this parameter affects the variance value.
	error in describes error conditions that occur before this VI or function runs. The default is no error. If an error occurred before this VI or function runs, the VI or function passes the error in value to error out. This VI or function runs normally only if no error occurred before this VI or function runs. If an error occurs while this VI or function runs, it runs normally and sets its own error status in error out. Use the Simple Error Handler or General Error Handler VIs to display the description of the error code. Use error in and error out to check errors and to specify execution order by wiring error out from one node to error in of the next node. status is TRUE (X) if an error occurred before this VI or function ran or FALSE (checkmark) to indicate a warning or that no error occurred before this VI or function ran. The default is FALSE. code is the error or warning code. The default is 0. If status is TRUE, code is a nonzero error code. If status is FALSE, code is 0 or a warning code. source specifies the origin of the error or warning and is, in most cases, the name of the VI or function that produced the error or warning. The default is an empty string.
	normalized? specifies to normalize the results into a covariance matrix, where the nondiagonal elements are close to one. The default is FALSE.
	covariance returns the calculated covariance matrix of the input multivariate (vector) time series.
	error out contains error information. If error in indicates that an error occurred before this VI or function ran, error out contains the same error information. Otherwise, it describes the error status that this VI or function produces. Right-click the error out front panel indicator and select Explain Error from the shortcut menu for more information about the error. status is TRUE (X) if an error occurred or FALSE (checkmark) to indicate a warning or that no error occurred. code is the error or warning code. If status is TRUE, code is a nonzero error code. If status is FALSE, code is 0 or a warning code. source describes the origin of the error or warning and is, in most cases, the name of the VI or function that produced the error or warning.

TSA Covariance (array)

	Xt specifies the input multivariate (vector) time series. Each column of the 2D array represents a vector at certain time.
	weighting specifies which variance to calculate. Options include Sample and Population. The default is Sample. Refer to the Details section for information about how this parameter affects the variance value.
	error in describes error conditions that occur before this VI or function runs. The default is no error. If an error occurred before this VI or function runs, the VI or function passes the error in value to error out. This VI or function runs normally only if no error occurred before this VI or function runs. If an error occurs while this VI or function runs, it runs normally and sets its own error status in error out. Use the Simple Error Handler or General Error Handler VIs to display the description of the error code. Use error in and error out to check errors and to specify execution order by wiring error out from one node to error in of the next node. status is TRUE (X) if an error occurred before this VI or function ran or FALSE (checkmark) to indicate a warning or that no error occurred before this VI or function ran. The default is FALSE. code is the error or warning code. The default is 0. If status is TRUE, code is a nonzero error code. If status is FALSE, code is 0 or a warning code. source specifies the origin of the error or warning and is, in most cases, the name of the VI or function that produced the error or warning. The default is an empty string.
	normalized? specifies to normalize the results into a covariance matrix, where the nondiagonal elements are close to one. The default is FALSE.
	covariance returns the calculated covariance matrix of the input multivariate (vector) time series.
	error out contains error information. If error in indicates that an error occurred before this VI or function ran, error out contains the same error information. Otherwise, it describes the error status that this VI or function produces. Right-click the error out front panel indicator and select Explain Error from the shortcut menu for more information about the error. status is TRUE (X) if an error occurred or FALSE (checkmark) to indicate a warning or that no error occurred. code is the error or warning code. If status is TRUE, code is a nonzero error code. If status is FALSE, code is 0 or a warning code. source describes the origin of the error or warning and is, in most cases, the name of the VI or function that produced the error or warning.

TSA Covariance Details

When unified? is FALSE, this VI calculates the covariance matrix for a multivariate time series m according to the following equation:

x_i, as a row vector, is the i^th channel time series. m_i is the arithmetic mean of x_i. The dimension of the covariance matrix is m×m. w is weighting. w=n when weighting is set to Population. w=n–1 when weighting is set to Sample.

When unified? is TRUE, this VI calculates the correlation coefficient matrix according to the following equation:

The above operation is equivalent to unifying each channel x_i with zero mean and unit energy and then calculating the covariance matrix of the unified multivariate time series.