Quantification of cross correlations in complex spatiotemporal systems

Phys Rev E Stat Nonlin Soft Matter Phys. 2006 Apr;73(4 Pt 2):046106. doi: 10.1103/PhysRevE.73.046106. Epub 2006 Apr 6.

Abstract

We propose a design of the equal time correlation matrix suitable for the analysis of multivariate time series with ill-defined phases. We present the cross-correlation analysis of model data sets taken from coupled stochastic oscillators and compare the concept with the results obtained from a conventional correlation matrix analysis. We show that the concept provides a higher sensitivity combined with a better statistical significance when quantifying weak cross correlations.