Cross-Correlation or Cross-Covariance?

Y-debug-sys / Diffusion-TS

[ICLR 2024] Official Implementation of "Diffusion-TS: Interpretable Diffusion for General Time Series Generation"

MIT License

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Cross-Correlation or Cross-Covariance? #14

Closed littlestone111 closed 8 months ago

littlestone111 commented 8 months ago

Hi, Thanks for updating the codebase frequently.

I am currently working on understanding the correlation score code. The formula in the paper looks like the Pearson correlation.

I also tried the correlation score in the code.

As you can see the first values, it gives 1.17 for feature 1 and feature 1. Should it be 1 instead? Please let me know If I miss something here.

Thank you so much for your time.

Y-debug-sys commented 8 months ago

Hi, the metirc's detailed description can be found in ''Metric on the correlation'' at page 17 in the paper [Conditional-Sig-Wasserstein-GANs], and we reuse its official code. Thanks!

littlestone111 commented 8 months ago

Thank you for sharing!