# Determining the correlation

• October 14th 2012, 01:28 AM
algorithm
Determining the correlation
Hi,

I am computing the correlation between two vectors by simply averaging loads of correlation values:

Repeat 100 times:
$Y = X + Noise$, where $Noise$ is AWGN with a normal distribution.
$C = \sigma_{XY}/\sqrt\(\sigma_{X}\sigma_{Y})$

Y and X are vectors of the same length. For my purposes $X$ is just contains known constants.

What I'd like to know is how I can determine the correlation analytically?

Thanks.
• October 14th 2012, 11:07 PM
chiro
Re: Determining the correlation
Hey algorithm.

Hint: How do you calculate the covariance and variance analytically?