Cross-Correlation with NCL (function esccr)

Hello everyone,

I would like to know about the exact direction of the lag when doing a
cross-correlation between variables x and y. More precisely, I want to
know what the following (taken from the discription of the esccr
function) really means:

x_Lead_y = esccr(x,y,mxlag)

Assume, just for simplicity, both x and y have values for 5 timesteps
(t0,t1,t2,t3,t4). For lag=0 this would mean a correlation between

x(t0),x(t1),x(t2),x(t3),x(t4)
y(t0),y(t1),y(t2),y(t3),y(t4)

If we have mxlag=1, to which direction is y shifted when applying
x_Lead_y = esccr(x,y,mxlag)?

Is it in the way that the following values are correlated?

x(t0),x(t1),x(t2),x(t3)
y(t1),y(t2),y(t3),y(t4)

Or the other way round:

x(t1),x(t2),x(t3),x(t4)
y(t0),y(t1),y(t2),y(t3)

I would suggest it's done in the former sense because this is how I
would interpret the term "leading". But I would be happy if someone can
make this perfectly clear to me.

Thanks for any help!

Cheers,
Daniel

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Received on Mon Nov 28 07:30:05 2011