nufftcf

Fast autocorrelation (ACF) and cross-correlation (CCF) function estimation for irregularly- and regularly-sampled time series, scaling as $O(n\log n)$ thanks notably to the Nonuniform Fast Fourier Transform library developped by the Flatiron Institut (FINUFFT).

With nufftcf three estimator families are provided for the ACF:

All seven ACF functions share the same calling convention: fn(lags, t, x, bin_width=0.5) (compute_acf_regular_fft has no bin_width, since it applies no smoothing kernel), and return (c, b) -- the ACF estimate and the effective pair count, both shape (len(lags),).

Cross-correlation functions (CCF)

The same NUFFT + Wiener-Khinchin and real-space machinery is also available for the cross-correlation function between two irregularly-sampled series (t, x) and (s, y), which may have different lengths and different sampling times:

All six share the calling convention fn(lags, t, x, s, y, bin_width=0.5) and return (c, b) -- the CCF estimate (Pearson-normalised, c ~ 1 at perfect correlation) and the effective pair count, both shape (len(lags),). By convention, a positive lag means y lags behind x (i.e. the CCF peaks at lag = tau0 when y(t) ~ x(t - tau0)).

compute_ccf_rectangle_fft / compute_ccf_gaussian_fft (in fft_ccf.py) are the CCF counterparts of compute_acf_rectangle_fft / compute_acf_gaussian_fft: they require t and s to each be regularly spaced with the same sampling step, and to lie on a common integer sampling lattice (s[0] - t[0] a multiple of dt) -- raising ValueError otherwise, in which case use the nufft or realspace estimators instead. There is no _regular (no-kernel) CCF variant, since none exists for the nufft/realspace families either.

Important: t and s must be expressed on a common time origin (e.g. elapsed days since the same reference date for both series). t_numeric_of alone uses each series' own first sample as origin, which is not suitable for two independently-sampled series -- using it separately on x and y would silently misalign the lags. Build t/s from a shared reference date instead (see the example below).

For a worked comparison against pyZDCF, including a case with a known theoretical CCF, see notebook/nufftcf_ccf_demo.ipynb.

Documentation

https://jecampagne.github.io/nufftcf/

Build the documentation locally

The docs are built with MkDocs + the Material theme, and mkdocstrings generates the API Reference page directly from the package's numpy-style docstrings.

pip install -e ".[docs]"

# live preview with auto-reload at http://127.0.0.1:8000
mkdocs serve

# or a static build into site/
mkdocs build

Deploying to the gh-pages branch (maintainers only):

mkdocs gh-deploy

Installation

pip install nufftcf

finufft, numba, and llvmlite are compiled dependencies; on some platforms (notably macOS) pip may try to build them from source and fail. If so, force prebuilt wheels first, in a fresh virtual environment:

pip install --only-binary=:all: finufft numba llvmlite
pip install nufftcf

See Troubleshooting if you still hit a build error.

From a local clone (for contributors / running notebooks and benchmarks)

git clone https://github.com/jecampagne/nufftcf.git
cd nufftcf
python3 -m venv venv
source venv/bin/activate          # Windows: venv\Scripts\activate
pip install --upgrade pip

# Force prebuilt wheels for the compiled dependencies (finufft, numba, llvmlite).
# This avoids source builds that can fail or produce mismatched OpenMP runtimes,
# particularly on macOS -- see docs/installation.md#troubleshooting-macos.
pip install --only-binary=:all: finufft numba llvmlite

pip install -e ".[dev,test,benchmark]"

Requires Python >= 3.11. Core dependencies: numpy, pandas, numba, scipy, finufft.

Check installation using pytest>=7.0

cd nufftcf
pytest tests/ -v

Let me know via the repository issues if you encounter any troubles.

Quick start

import numpy as np
import pandas as pd
from nufftcf import compute_acf_gaussian_nufft, t_numeric_of

# An irregularly-sampled series (any DatetimeIndex works)
idx = pd.date_range("2000-01-01", periods=5000, freq="D")[np.random.rand(5000) > 0.2]
x = pd.Series(np.random.randn(len(idx)), index=idx)

lags = np.arange(1.0, 366.0)         # 1 to 365 days
t = t_numeric_of(x)                   # elapsed days since first sample

c, b = compute_acf_gaussian_nufft(lags, t, x.to_numpy(), bin_width=0.5)
# c: ACF estimate per lag (c ~ 1 at lag -> 0)
# b: effective number of contributing pairs per lag (useful to flag
#    under-sampled lags, e.g. mask out lags where b is too small)

Cross-correlation example

import numpy as np
import pandas as pd
from nufftcf import compute_ccf_gaussian_nufft

# Two irregularly-sampled series on a COMMON time origin (elapsed days since
# the same reference date), with y lagging behind x by tau0 = 60 days
ref_date = pd.Timestamp("2000-01-01")
n_days, tau0, alpha = 3650, 60, 10.0
rng = np.random.default_rng(0)

# shared latent Ornstein-Uhlenbeck-like signal (ACF ~ exp(-|u|/alpha))
phi = np.exp(-1.0 / alpha)
noise = rng.standard_normal(n_days + tau0)
z = np.empty(n_days + tau0)
z[0] = noise[0]
for i in range(1, n_days + tau0):
    z[i] = phi * z[i - 1] + noise[i]

mask_x = rng.random(n_days) > 0.6   # series 1: ~40% of days kept
mask_y = rng.random(n_days) > 0.4   # series 2: ~60% of days kept

t = np.arange(n_days)[mask_x].astype(float)   # elapsed days, series 1
s = np.arange(n_days)[mask_y].astype(float)   # elapsed days, series 2 (same origin as t)

x = z[tau0:][mask_x]     # x(t)   = z(t)
y = z[:n_days][mask_y]   # y(t)   = z(t - tau0)  -> y lags x by tau0 days

lags = np.arange(1.0, 181.0)   # 1 to 180 days
c, b = compute_ccf_gaussian_nufft(lags, t, x, s, y, bin_width=0.5)
# c: CCF estimate per lag, peaks at lag = tau0 = 60
# b: effective number of contributing pairs per lag

Which estimator should I use?

• Your data is regularly sampled (a fixed time step, no gaps): use the _fft variants. They're faster than both _nufft (no NUFFT overhead) and _realspace (no numba two-pointer scan) on regular data, and compute_acf_regular_fft additionally gives you Pastas' "regular" bin_method (no smoothing kernel) at a fraction of its cost (see benchmark/).
• Long, irregularly-sampled series (tens of thousands of points or more) where Pastas' real-space approach becomes impractically slow: use the _nufft variants.
• Strongly periodic, irregularly-sampled signals (e.g. seasonal/annual cycles) where you need the most accurate possible ACF and series length is manageable: use the _realspace variants, or the _nufft variants with an increased N1 (e.g. N1>32*len(x)), which reduces but does not fully eliminate the residual bias (see below).
• Everything else, irregular case: either _nufft or _realspace works; _nufft will generally be faster.

A note on the NUFFT residual bias

The NUFFT-based estimators compute the power spectrum of the irregularly-sampled signal and invert it at the requested lags via the Wiener-Khinchin theorem. This implicitly relies on a finite-domain Fourier representation, which is mathematically equivalent to convolving the true spectrum with the "spectral window" induced by the irregular/gappy sampling pattern. A narrow spectral peak (a strongly periodic signal) is distorted much more visibly by this convolution than a broad, featureless spectrum (e.g. an AR(1)-type exponential decay), even though the absolute size of the distortion is similar in both cases.

In practice, with the default N1 = 32 * len(x) (the number of Fourier modes used internally by FINUFFT), this residual bias is on the order of 1–3% of the ACF amplitude for strongly periodic signals with irregular or gappy sampling, and negligible for smoothly-decaying, broadband signals. Reducing N1 speeds up the computation slightly at the cost of a larger bias; increasing it beyond 32 * len(x) gives diminishing returns for most practical series.

The _realspace estimators do not have this limitation (no implicit periodicity assumption), at the cost of O(n) scaling per lag rather than O(n log n) -- for most practical series lengths both are fast; benchmark on your own data if it matters (see benchmark/).

Regularly-sampled data: the _fft estimators

When t is on a regular grid, compute_acf_regular_fft / compute_acf_rectangle_fft / compute_acf_gaussian_fft (in fft_acf.py) skip NUFFT entirely and use a plain scipy.signal.correlate (classic FFT correlation) instead -- faster, and with no finufft/numba dependency in the hot path. All three raise ValueError if t isn't regularly spaced (use _nufft/_realspace for that).

• compute_acf_regular_fft reproduces Pastas' bin_method="regular" (a windowed Pearson correlation, no smoothing kernel) to numerical precision (atol=1e-9 in tests/test_fft_acf.py), via an O(n) cumulative -moments computation (E[X^2] - E[X]^2) instead of one np.corrcoef call per lag.
• compute_acf_rectangle_fft / compute_acf_gaussian_fft match compute_acf_rectangle_realspace / compute_acf_gaussian_realspace almost exactly at the package's default bin_width=0.5 (atol=1e-9). For other bin_width values, expect a small residual at lag=0 specifically (a few %, decaying to <0.1% by lag~5) -- an inherent discretization artifact of approximating a continuous symmetric kernel window with a discrete digital filter, not a bug to chase further; see tests/test_fft_acf.py::test_rectangle_fft_matches_realspace_various_bin_widths for the exact numbers across bin_width values.

Notebooks

• pastas_vs_nufftcf.ipynb compares nufftcf against Pastas on irregularly-sampled series (sine and AR(1)-like, with random gaps), using the _nufft estimators.
• pastas_vs_nufftcf_regular.ipynb does the same on regularly-sampled series (sine, noisy sine, noisy exponential decay, square wave), using the _fft estimators, for all 3 of Pastas' bin methods (regular/rectangle/gaussian).
• zdcf_vs_nufftcf.ipynb compares nufftcf against pyzdcf on the same irregularly-sampled series used in the pastas_vs_nufftcf.ipynb.
• nufftcf_ccf_demo.ipynb demonstrates the cross-correlation (CCF) functions (compute_ccf_gaussian_nufft, compute_ccf_rectangle_nufft) against pyZDCF, including a case with two series built from coupled Ornstein-Uhlenbeck processes for which the theoretical CCF is known analytically.
• nufftcf_astro_demo.ipynb is an astrophysics-flavoured use-case of the ACF estimators on a synthetic stellar light curve combining a quasi-periodic rotation signal (sinusoid of period P_rot with a slowly-evolving amplitude, modeling spot evolution), a fast Ornstein-Uhlenbeck correlated-noise component (flicker/granulation-like), a ground-based survey sampling (seasonal observability window + random weather losses, i.e. structured gaps rather than uniform sub-sampling) and heteroscedastic per-point measurement noise -- for which the ACF of the latent process is known analytically in closed form. compute_acf_gaussian_realspace and compute_acf_gaussian_nufft are run on the sparse, noisy light curve and checked against this ground truth; the rotation period P_rot and the noise correlation time tau_n are then recovered from the estimated ACF by peak search and a composite-model fit (with the associated identifiability and measurement-noise-dilution subtleties discussed in the notebook), and the recovery is validated over many independent survey realizations (Monte Carlo over seeds).
• nufftcf_demo_ccf_Emmanoulopoulos.ipynb is a cross-correlation, reverberation-mapping-flavoured use-case of the CCF estimators on a synthetic pair of AGN/blazar-like light curves. A single latent series is drawn with the Emmanoulopoulos algorithm (gammapy_SyLC, power-law PSD + log-normal PDF), from which an optical and a gamma-ray band are derived with independent seasonal-survey sampling, a known injected delay (lag_days=15 d) and independent, heteroscedastic per-band measurement noise. compute_ccf_gaussian_nufft, compute_ccf_rectangle_nufft and compute_ccf_gaussian_realspace are checked for mutual consistency on this sparse, dual-cadence pair; the injected delay is recovered by peak search with a confidence interval obtained by bootstapping, and its significance is assessed via Monte Carlo over many independent, uncorrelated gamma-ray realizations. The notebook closes on why the recovered peak falls below 1 -- mainly measurement-noise dilution, with sampling and edge effects as secondary contributors.

All are Colab-ready: the first cell installs nufftcf as well as Pastas or pyzdcf and third party libraries. Concerning pyzdcf, the repository was cloned and adapted to ensure compatibility with the pandas and other library versions used in this notebook, allowing it to run on Google Colab. These changes do not affect the quality of the computations.

Method

nufftcf is built on two ingredients:

1. FINUFFT (Flatiron Institute) to evaluate the power spectrum of the irregularly-sampled signal via a type-1 non-uniform FFT, then invert it at the requested lags via a type-2 NUFFT (Wiener-Khinchin theorem) -- this is what gives the _nufft estimators their $\sim~O(n\ log\ n)$ scaling, instead of the $O(n^2)/O(n)$ per-lag direct sum.
2. An analytical, kernel-specific correction for the number of contributing sample pairs per lag (the b denominator in kernels.py), for both the Gaussian and rectangular/boxcar smoothing kernels -- computed with an $O(n)$ two-pointer scan (since t is sorted), rather than the naive $O(n^2)$ all-pairs count. This b is what turns the raw NUFFT power spectrum into a properly normalized correlation.

On a regular grid, fft_acf.py gets the same b correction for free, without the two-pointer scan: smoothing the deterministic "raw pair count" ramp (n - lag) with the same discrete filter (gaussian or box) used for the correlation numerator reproduces b exactly -- see the "Regularly -sampled data" section above for the validation numbers and the two bugs this caught in the original prototype.

See nufft_acf.py, kernels.py and fft_acf.py docstrings for the full derivation, and notebook/ / benchmark/ for empirical validation.

Benchmark

• benchmark/benchmark_acf.py (+ fit_benchmark_acf.py): Pastas vs _nufft, on irregularly-sampled series of varying length, both kernels.
• benchmark/benchmark_acf_regular.py (+ fit_benchmark_acf_regular.py): Pastas vs _fft and _nufft, on regularly-sampled series of varying length, all 3 bin methods -- this is what lets you see, on regular data, how much the dedicated _fft path buys over just reusing the more general _nufft estimator.
• no real benchmarks are provided to compare nufftcf against pyzdcf, although in the plots obtained in zdcf_vs_nufftcf.ipynb one can appreciate that nufftcf is ~2 order of magnitude faster.

pip install -e ".[benchmark]"
python benchmark/benchmark_acf.py            
# -> benchmark_acf_results.csv
python benchmark/fit_benchmark_acf.py

python benchmark/benchmark_acf_regular.py    
# -> benchmark_acf_regular_results.csv
python benchmark/fit_benchmark_acf_regular.py

Adjust durations_years / n_points_list and the Pastas cutoffs (pastas_max_years, pastas_max_n_regular, pastas_max_n_kernel -- Pastas' "gaussian"/"rectangle" bin methods are $O(n^2)$ on regular data too, just like on irregular data, while "regular" is empirically $\sim O(n)$ and stays usable much longer; both were measured directly before picking these defaults, not assumed) at the top of each script as needed. Each measurement uses several repeats and keeps the minimum, to reduce noise from shared/cloud environments (Colab, background browser activity, etc.).

benchmark/*_macosx.{csv,png} give the results on MacBook Pro (2020) 2 GHz Intel Core i5 quatre cœurs (osx Tahoe 26.5.1)-- re-run on your own machine for comaparison. You can share your results on the Discussions of the repository.

Citing

If you use nufftcf, please also cite FINUFFT, which it depends on:

A. H. Barnett, J. F. Magland, and L. af Klinteberg (2019). A parallel non-uniform fast Fourier transform library based on an "exponential of semicircle" kernel. SIAM J. Sci. Comput. 41(5), C479-C504. https://github.com/flatironinstitute/finufft

Jean-Eric Campagne (2026) arXiv:2609.03866 PDF Class: astro-ph.IM: nufftcf: Fast Auto- and Cross-Correlation Function Estimation for Irregularly-Sampled Time Series via the Non-Uniform FFT

License

MIT

Development

pip install --only-binary=:all: finufft numba llvmlite
pip install -e ".[dev]"
black .          # formatage
pytest tests/    # tests

Tests

pip install --only-binary=:all: finufft numba llvmlite
pip install -e ".[test]"
pytest tests/

tests/test_nufft_acf.py (NUFFT vs realspace, irregular data), tests/test_ccf.py (NUFFT vs realspace, cross-correlation), tests/test_fft_acf.py (fft vs realspace, and fft "regular" vs Pastas itself, regular data), and tests/test_fft_ccf.py (fft vs realspace cross-correlation, regular data) are correctness/sanity checks, not performance benchmarks.