Cross-covariance

returns
the cross-covariance of two discrete-time sequences, `c`

= xcov(`x`

,`y`

)`x`

and `y`

.
Cross-covariance measures the similarity between `x`

and
shifted (lagged) copies of `y`

as a function of
the lag. If `x`

and `y`

have
different lengths, the function appends zeros at the end of the shorter
vector so it has the same length as the other.

`c = xcov(___,`

limits
the lag range from –`maxlag`

)`maxlag`

to `maxlag`

.
This syntax accepts one or two input sequences. `maxlag`

defaults
to *N* – 1.

[1] Orfanidis, Sophocles J. *Optimum Signal Processing:
An Introduction*. 2nd Edition. New York: McGraw-Hill, 1996.

[2] Larsen, Jan. "Correlation Functions and Power Spectra." November, 2009. http://www2.imm.dtu.dk/pubdb/views/edoc_download.php/4932/pdf/imm4932.pdf

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