Questions tagged [autocorrelation]
Autocorrelation is the cross-correlation of a signal with itself.
330
questions
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56 views
Negative bias in sample auto-correlation of uncorrelated time-series
I am using the following definition for the sample auto-correlation:
$AC_x(l)=∑_{i=1}^{N-l}(x_i-μ)(x_{i+l}-μ)$ ; $μ=\frac{1}{N}∑_{i=1}^Nx_i$
I have noticed that this definition introduce a ...
1
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1answer
31 views
The expectation in power spectral density
I'm a bit confused with the definition of the power spectral density (PSD). From Wiki https://en.wikipedia.org/wiki/Spectral_density , I found the definition is:
$$
S_{xx}(\omega) = \lim_{T\...
0
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1answer
33 views
Auto-correlation of C/A code with 30dB noise
I've a C# program that generates a GPS C/A code consisting of -1s and +1s.
Auto correlating the code with rotated versions of itself shows that the peak is 1023 and the next maximum value is 63 which ...
0
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1answer
25 views
Autocorrelation Computation with MATLAB
I have done the computation of the autocorrelation of a sequence (vector), here called "frame", and I have plotted it. Here the code:
The resulting graph is:
I do not understand the position of the ...
0
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0answers
17 views
Stereo echo cancellation for stationary source locations: why does adaption stagnate?
In a stereo echo cancellation system, the echo path for the far-end-signal in the near-end room is estimated by an adaptive filter. Since the same signal is transmitted by two similar far-end paths, ...
1
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1answer
57 views
Autocorrelation for Stationary Signals
I'm having trouble grasping the autocorrelation function for stationary signals, both strict stationary and WSS.
First for strict sense, we have $$\forall(\tau,t_1, \ldots, t_n) \in \mathbb{R} \land ...
1
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1answer
91 views
What is the time reversal convolution
Given a signal $r(t)$ which is a result of convolution between signal $x(t)$ and a channel $h(t)$ as below :
$r(t) = h(t)*x(t); $
what I know, the time reversal convolution can be process as ...
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0answers
17 views
Power spectral density of surface roughness
I am currently working on understanding how visually and intuitively the power spectral density is the fourier transform of the autocorrelation of a signal. I was wondering if anyone had a good ...
0
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1answer
35 views
estimation of ARMA(1,1) with MA parameter greater than 1
I am working with the following simple ARMA(1,1) model:
$$
z_{t+1} = \phi z_{t} + \theta\varepsilon_{t} + \varepsilon_{t+1}
$$
In my case $\theta$ depends on some other parameters, and, therefore, I ...
0
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3answers
77 views
Impulsive autocorrelation sequence
I am looking for a proof that a finite length sequence can only have an impulsive autocorrelation sequence if the sequence is a single impulse itself, ie.:
assume $s[n]$ is nonzero for $n=0,1,2,3$ ...
3
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2answers
122 views
What is the autocorrelation of a Dirac pulse?
What is the autocorrelation of $x(t) = \delta(t)$?
Can you explain to me how to calculate it?
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0answers
11 views
Effect of filtering on Energy of a Digital Signal
I am trying to detect (not remove) noise from the digital signal to get meaningful information out of it.
The signal I need is in the frequency range of 0.1 Hz to 10 Hz. Anything beyond this is just ...
0
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0answers
19 views
How to compute the energy of a NON-STATIONARY (transient) random discrete-time signal
When computing the energy of a NON-STATIONARY (transient) random discrete-time signal $x(n)$, does it make more sense to compute the energy as
$ E=\sum_1^N{x^2(n)}$ over all the $N$ samples
or does ...
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1answer
55 views
What is the meaning of **Sample** in **Sample ACF**
What is the meaning of Sample in Sample ACF (autocorrelation function)
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0answers
90 views
Definitions of PSD, ESD and Autocorrelation
This question is going to encompass multiple areas and may not have a single answer but here it goes. I'm trying to conceptualize 3 different concepts and how they relate to each other. These 3 ...
2
votes
1answer
238 views
Autocorrelation of a uniform random process
i am currently learning the basics of signal processing.
As you may know the definition of the autocorrelation is different if you look at a random process or for example a deterministic signal
My ...
0
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0answers
35 views
Find repeating sequences in audio file
I have a long audio file (12+ hours). I know that there are some unknown small (2 minutes each or thereabout, it varies) repeating (not bit by bit: it is recorded with a mic) chunks in it, repeating ...
1
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1answer
108 views
Energy definition for Autocorrelation lag 0 and lag 1 for complex signals
I am studying the role of an auto-correlation matrix for random signals and the difference of energy between a lag 0 and lag 1 matrix.
Consider a complex input signal $x(k)=[x1,x2]^T$ and $x(k-1)=[x0,...
0
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0answers
28 views
ACF of $X_t = a + bt$
I was able to prove the following convergence results. But how can we determine the theoretical autocorrelation function of the deterministic sequence $X_t = a + bt$ and $X_t = c\ \text{cos}(\omega t)$...
3
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1answer
203 views
PSD from autocorrelation in MATLAB
I am trying to simulate a simple stochastic process defined by the equation:
\begin{equation}
\frac{1}{v}\frac{db}{dt} +\Gamma_0 b= \sqrt{\sigma}R(t),
\end{equation}
where $R(t)$ is a zero-mean white ...
0
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0answers
26 views
Autocorrelation of an AR model
When I plot the autocorrelation function of an autoregressive signal, I get this instead of a damping sinusoid.
I am having trouble understanding why this is happening. My signal is an generated ...
0
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1answer
26 views
Linear prediction and filter stability
I am currently trying to implement an iterative block-wise algorithm in which AR coefficients are computed for each block.
There is a issue with my code where values get too large, and I was ...
0
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0answers
79 views
SNR and Correlation
Signal to Noise ratio is essentially the ratio of the signal power to the average noise power. Correlation is the similarity of two signals. Assuming a signal travels through a channel or medium, and ...
0
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2answers
83 views
Why is there only one integration in the solution if there is two integral in the formula?
In this problem the random variable is theta and according to the formula there should be two integrations but in the solution there is only one . Nor am i able to understand the meaning of x1 and x2 ...
2
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2answers
94 views
Understanding Pitch Detection with Autocorrelation Methods
I've been reading through A Smarter Way to Find Pitch, describing its pitch detection algorithm using autocorrelation.
I've been having trouble understanding the accuracy claims. It says:
MPM runs ...
1
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1answer
50 views
Why autocorrelation can be more efficiently calculated using the fft
Can anyone explain why autocorrelation can be more efficiently calculated using the fft ?
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2answers
211 views
Noise and AutoCorrelation Function
I would like to find a way to identify whether some components of a signal I have are "noise components" or not.
Given the fact that the (normalized) autocorrelation function of white noise is a ...
0
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0answers
65 views
ACF expression using FFT method
It is known that the ACF of a 2D digital image can be obtained by computing the inverse Fourier transform ...
0
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2answers
47 views
Relation between $X(f)$ and $S_x(f)$
We know that for a signal $x(t)$, it is related to $R_x(\tau)$ as, $$R_x(\tau) = \int_{-\infty}^{\infty}x(t)x(t-\tau)dt$$.
$\\$We also know that $$R_x(\tau) \rightleftharpoons S_x(f)$$
$\\$How do we ...
2
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1answer
115 views
Correlation of independent random processes
Suppose $X(t)$ and $Y(t)$ be two independent random processes. Is $E(X(t_1)Y(t_2))$ necessarily zero?
2
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0answers
46 views
what is equal to the FT of the Autocorrelation function
I am trying to make my own demonstration in order to find what is equal to the FT of the Autocorrelation function.
The autocorrelation function in some book about turbulence is defined as:
r($\tau$)=...
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0answers
26 views
Is the expectation of a random process $X(t)$ with zero DC component necessarily zero?
Is the expectation of a random process $X(t)$ with zero DC component necessarily zero? Or can it be non-zero depending upon the process?
2
votes
1answer
86 views
the demonstration that states that the FT of the ACF function is the square of the DTFT of the signal
I am following the book The Intuitive Guide to Fourier Analysis & Spectral Estimation with MATLAB. I am trying to selflearn the fourier analysis in matlab.
I got lost in one passage in the ...
1
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1answer
73 views
Mathematical description of the ACF using fft2
I computed the acf of an image with the following code:
...
3
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1answer
177 views
Why is the Fourier (or cosine) transform decorrelating?
The discrete Fourier transform (DFT) and the discrete cosine transform (DCT) both decompose a signal into its frequency-domain spectrum. One property that I have seen praised across various domains ...
0
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0answers
20 views
Increasing error safety in the cross correlation of two binary signals in wireless communication
I want to cross correlate two binary signals, where one is corrupted by noise and shifted by a time constant $\tau$, but has the same bit pattern (so basically an auto correlation). Similar to case 2 ...
2
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1answer
80 views
What kind of power spectrum implies uncorrelation in time?
I am new in signal processing field, and actually I just need some basic tools for what I am working on. I've learnt that the autocorrelation function is the inverse Fourier transform of the signal's ...
2
votes
2answers
202 views
Autocorrelation of signal with offset
If I have a stationary signal $x(t)$ with zero mean and with an auto correlation $r_{xx}(\tau)$, then what is the auto correlation of $y(t)=x(t)+b$ ?
My calculations so far:
$$\begin{align}
r_{yy}(\...
0
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0answers
7 views
After fitting auto ARIMA's order, in prediction I'm getting bad result
For sunspot dataset.
Below is the ARIMA code. Auto ARIMA finds the best ARMA(2,1,2)(2,0,1) model. But when I plot the prediction seems wrong:
...
1
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1answer
78 views
How to find the fundamental frequency of a discrete signal using partial autocorrelation?
I hope you can help me with this question.
I am trying to calculate the fundamental frequency (to know the beats per minute) of a cardiac pulse signal using partial autocorrelation.
I use a 12-bit ...
0
votes
1answer
460 views
Autoconvolution vs Autocorrelation
I have a serious doubt about Autocorrelation and AutoConvolution.
My understanding is,
Autocorrelation
Autocorrelation is ...
0
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0answers
31 views
Aperiodic Correlation function using FFT Method
Periodic correlation function between two binary sequences say x and y can be computed using FFT. corr_value = ifft(fft(x).*conj(fft(y));
Can some one please help on how to compute aperiodic ...
1
vote
1answer
550 views
Autocorrelation of sinc function
I'm having trouble on computing the autocorrelation of the sinc function
I want to compute
$$R_{hh}(\tau)=\int_{-\infty}^{\infty}\operatorname{sinc}(t) \ \operatorname{sinc}(t-\tau) \ \mathrm{d}t$$
...
1
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0answers
57 views
Equivalence of the Power Spectral Density definitions
I am trying to show the equivalence of the following Power Spectral Density definitions in Matlab:
Definition 1:
$$ P(\omega) = \sum_{k=-\infty}^{\infty} r(k)e^{-j\omega k} $$
Definition 2:
$$ P(\...
1
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0answers
30 views
How to add noise with given autocorrelation to signal in Matlab?
My question is a mix of signal processing and Matlab coding.
I have an FIR filter with added noise $w_n$ $$x_n=\sum_{m=0}^{N_h-1}h_mg_{n-m}+w_n.$$
Now the noise $w_n$ has the autocorrelation $$E[...
1
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0answers
72 views
Zero-padding vs. nonzero-padding in computation of auto-correlation with FFT
Isn't the usual zero-padding in the computation of the auto-correlation function with FFT just one of many possible extrapolations of the original signal?
If I have a measured signal which has good ...
0
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0answers
43 views
Autocorrelation function and product of summations
Let $u[k]$ be a white gaussian noise with variance $\sigma^2$ and $y[k]=\sum\limits_{i=0}^q b_i u[k-i]$, that is a moving average model.
I am trying to compute the autocorrelation function of $y[k]$:
...
0
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1answer
132 views
Finding period of a square wave with varying sampling frequency
I have a square wave (0-1.8V) with a varying sampling frequency (from a circuit simulator). It is also not a perfect square wave (the high and low signal could be very close to but not precisely zero ...
0
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0answers
78 views
Is there an algorithm for computing auto-correlation in a frame-based manner?
I am trying to find out if an algorithm similar to the Overlap-And-Add method that enables frame-based computation of convolution and cross-correlation exists.
When I say frame-based computation I am ...
2
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0answers
215 views
Pitch detection, YIN, pYIN
So here is the "seminal" YIN paper:
Cheveigne A, Kawahara H. - YIN, a fundamental frequency estimator
for speech and music
and the new, improved probabilistic YIN:
Mauch M, Dixon S. - PYIN: A ...
