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.

• Received 16 August 2005

DOI:https://doi.org/10.1103/PhysRevE.73.046106