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Correlation between two signals

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Praveen Kumar Pakkirisamy
Praveen Kumar Pakkirisamy on 10 Oct 2020
Commented: Alan Stevens on 15 Oct 2020
The figure below shows the plot of two different signals which I am aiming to compare. The blue signal is the actual signal and the red signal is the prediction of the same signal. I have also attached signals a and b as mat files.
I have following questions:
  1. How do I compare both the signals? Is there anything like Pearson coefficient for these type of signals?
  2. I believe that applying Pearson coefficient for this signal is not right as the two signals are quite non-linear (I observed this by scatter-plotting both together).
Thank you in advance. Stay safe and healthy

Answers (1)

Alan Stevens
Alan Stevens on 10 Oct 2020
I don't see why you shouldn't use a Pearson r correlation:
A = a - mean(a);
B = b - mean(b);
r = A*B'/ (norm(A)*norm(B));
Praveen Kumar Pakkirisamy
Praveen Kumar Pakkirisamy on 15 Oct 2020
Sorry, I don't understand what is happening. Only on cumulative areas, you mean only till a certain data point?. Is there a reference/study material for this method as I want to be certain of what method I am using. Thank you.
Alan Stevens
Alan Stevens on 15 Oct 2020
It's just a suggestion of a way of ranking your different models!

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