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Is there a function in MATLAB to estimate the cross correlation function of two wide-sense stationary signals (or the autocorrelation of the signal with itself) in a way similar to the estimation of the PSD using PWELCH?

I mean an estimate using shorter overlapping intervals and an averaging process to reduce noise .

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  • $\begingroup$ The cross power spectral density is defined as the Fourier transform of the cross-correlation. Maybe you could just perform an IFFT on PSD if I understand you correctly. $\endgroup$
    – ZR Han
    Commented Feb 5, 2021 at 0:52
  • $\begingroup$ I don't think it is a straightforward operation to pass through the PSD, although it would make sense $\endgroup$
    – EmThorns
    Commented Feb 5, 2021 at 1:00

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