"Fast" correlation algorithm

If you need auto(cross)correlations in O(n*log(n)) rather than O(n^2)
you can use an FFT.  Here's a good short write-up on using the FFT for
this (numerical recipes chapter):

http://hebb.mit.edu/courses/9.29/2002/readings/c13-2.pdf

Won't get you p values, but is faster than a normal matrix-vector
multiply.  If I understand your post correctly though, you are doing
bunches of vectors of dimension ~100, probably the standard method is
plenty fast, you may not see speed up by using an FFT for vectors this
small (larger overhead for the transform -> operations -> inverse
transform).

"Fast" correlation algorithm

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