Scaled correlation

In statistics, scaled correlation is a form of a coefficient of correlation applicable to data that have a
temporal component such as time series. It is the average short-term correlation. If the signals have multiple
components (slow and fast), scaled coefficient of correlation can be computed only for the fast components
of the signals, ignoring the contributions of the slow components.[1] This filtering-like operation has the
advantages of not having to make assumptions about the sinusoidal nature of the signals.

For example, in the studies of brain signals researchers are often interested in the high-frequency
components (beta and gamma range; 25–80  Hz), and may not be interested in lower frequency ranges
(alpha, theta, etc.). In that case scaled correlation can be computed only for frequencies higher than 25 Hz
by choosing the scale of the analysis, s, to correspond to the period of that frequency (e.g., s = 40 ms for
25 Hz oscillation).

Definition
Scaled correlation between two signals is defined as the average correlation computed across short
segments of those signals. First, it is necessary to determine the number of segments that can fit into the
total length of the signals for a given scale :

Next, if is Pearson's coefficient of correlation for segment , the scaled correlation across the entire
signals is computed as

Efficiency
In a detailed analysis, Nikolić et al.[1] showed that the degree to which the contributions of the slow
components will be attenuated depends on three factors, the choice of the scale, the amplitude ratios
between the slow and the fast component, and the differences in their oscillation frequencies. The larger the
differences in oscillation frequencies, the more efficiently will the contributions of the slow components be
removed from the computed correlation coefficient. Similarly, the smaller the power of slow components
relative to the fast components, the better will scaled correlation perform.

Application to cross-correlation
Scaled correlation can be applied to auto- and cross-correlation in order to investigate how correlations of
high-frequency components change at different temporal delays. To compute cross-scaled-correlation for
every time shift properly, it is necessary to segment the signals anew after each time shift. In other words,
signals are always shifted before the
segmentation is applied. Scaled correlation has
been subsequently used to investigate
synchronization hubs in the visual cortex [2]
Scaled correlation can be also used to extract
functional networks.[3]

Advantages over filtering

methods Example of a cross-correlogram between spike trains
computed in a classical manner (left) and by using scaled
correlation (right; = 200 ms). Scaled correlation removes
Scaled correlation should be in many cases the slow component from the cross-correlogram.
preferred over signal filtering based on spectral
methods. The advantage of scaled correlation
is that it does not make assumptions about the spectral properties of the signal (e.g., sinusoidal shapes of
signals). Nikolić et al.[1] have shown that the use of Wiener–Khinchin theorem to remove slow components
is inferior to results obtained by scaled correlation. These advantages become obvious especially when the
signals are non-periodic or when they consist of discrete events such as the time stamps at which neuronal
action potentials have been detected.

Related methods
A detailed insight into a correlation structure across different scales can be provided by visualization using
multiresolution correlation analysis.[4]

See also
Autocorrelation
Coherence (signal processing)
Convolution
Correlation
Cross-correlation
Phase correlation
Spectral density
Cross-spectrum
Wiener–Khinchin theorem

References
1. Nikolić D, Muresan RC, Feng W, Singer W (2012) Scaled correlation analysis: a better way
to compute a cross-correlogram. European Journal of Neuroscience, pp. 1–21,
doi:10.1111/j.1460-9568.2011.07987.x http://www.danko-nikolic.com/wp-
content/uploads/2012/03/Scaled-correlation-analysis.pdf
2. Folias, S.E., S. Yu, A. Snyder, D. Nikolić, and J.E. Rubin (2013) Synchronisation hubs in the
visual cortex may arise from strong rhythmic inhibition during gamma oscillations. European
Journal of Neuroscience, 38(6): 2864–2883.
3. Dolean, S., Dînşoreanu, M., Mureşan, R. C., Geiszt, A., Potolea, R., & Ţincaş, I. (2017,
September). A Scaled-Correlation Based Approach for Defining and Analyzing Functional
 Networks. In International Workshop on New Frontiers in Mining Complex Patterns (pp. 80–
92). Springer, Cham.
4. Pasanen, L., & Holmström, L. (2016). "Scale space multiresolution correlation analysis for
time series data." Computational Statistics, 1–22.

Free sources
A free source code for computing scaled cross correlation and an interface for MATLAB can
be downloaded here: http://www.raulmuresan.ro/sources/corrlib/
Simple demo code in python: https://github.com/dankonikolic/Scaled-Correlation

Retrieved from "https://en.wikipedia.org/w/index.php?title=Scaled_correlation&oldid=1155855261"