This is a quick demo of how I created this video. Check it out below, or read on to see the code that made it!
Note - you can find the nbviewer of this post here
Coherence vs. Correlation - a simple simulation¶
A big question that I've always wrestled with is the difference between correlation and coherence. Intuitively, I think of these two things as very similar to one another. Correlation is a way to determine the extent to which two variables covary (normalized to be between -1 and 1). Coherence is similar, but instead assesses "similarity" by looking at the similarity for two variables in frequency space, rather than time space.