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Questions tagged [autocorrelation]

Autocorrelation is the cross-correlation of a signal with itself.

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Autocorrelation sequence in terms of Fourier transform of the underlying signal

Let $x(n)$ be a sequence of length $N$, which is zero outside the interval $(0,N-1)$. Let $X(k), k=0,1,\cdots,N-1$ be the FFT coefficients of $x(n)$, that is, $X(k)=\sum_{n=0}^{N-1}x(n) \exp\left( -\...
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Co-prediction of signals

Is there any plausible method to estimate or predict one signal, on the basis of known value of another signal, provided the two signals bear a strong correlation? For instance, the audio amplitude ...
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31 views

Can spectral density be a complex quantity?

I have a signal ($S(t)$) which is product of a Gaussian ($G(t)$) and a random phase function ($e^{i\theta(t)}$, here $\theta(t)$ is a random function), as shown below $S(t)=G(t).e^{i\theta(t)}$ If I ...
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Autocorrelation graphically deduce

I'm asking for your help in understanding if I have a rectangular function, so the autocorrelation for it will be triangular... and I can prove that graphically but this is time-consuming especially ...
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Computer Vision - What are the possible values for indices in auto correlation function for Harris Corner Detector?

The auto correlation function for Harris Corner Detector is defined as $E(u, v) = \Sigma_{x, y} w(x, y) [I(x + u, y + v) - I(x, y)]^ 2$ The idea here is that we ...
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$E(X(t)X(t))=\sigma^2\delta(\tau)$ or $E(X(t)X(t))=\sigma^2$

(Question already asked on Math StackExchange) Let's say we have a white noise process $x(t)$ such that: $E(X(t)X(t+\tau))=N\delta(\tau)$ $E(X(t))=0$ In particular, with $\tau=0$, $E(X(t)X(t))=E(X^...
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Autocorrelation after sampling - Random Process

I hope someone can help me with the following problem: Given a zero-mean complex white Gaussian noise process $n(t)$ I first calculate the autocorrelation $R_n(\tau)$. The real and imaginary part ...
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Practical insightful time domain functions [closed]

This question might be a little bit different, but i am having hard time to find some sort of a list/book/website/advice, with very practical time domain functions that provides useful insgihts for a ...
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46 views

What does a star shaped autocorrelogram mean?

Using the data in the upper graph, I get the weird autocorrelogram of the lower graph:- I've never seen a autocorrelogram of this shape. They're usually flat along the x axis. Testing the code with ...
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Imposing constraints in mixture modeling of correlated data?

For 1-D signals (spectra) or 2-D signals (images), is there a way to impose the constraint that the data within a group is uncorrelated? I am iteratively applying background correction model fitted to ...
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How can faux correlated data be generated for testing or training?

There are one or two questions here that ask how to assess data correlation. The data tends to be empirical. Is there some tool or standardised technique for generating correlated data from scratch? ...
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27 views

Interpolation of missing audio signal in a video sequence

Suppose there is a video sequence and there are some frames for which the audio data is missing. I want to interpolate the missing audio data on the basis of the correlation of the audio signal with ...
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65 views

How to determine fundamental frequencies (beats/minute) of heartbeat? (matlab)

read = matfile('ECG.mat'); [cor, lags] = xcorr(read.ecg, read.ecg); read.Fs; So i have read.ecg (signal) and ...
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Why is the sound field intensity due to $K$ point sources given by $ I(p,\omega) = \sum_{k=1}^K \sigma_k^2(\omega) \delta(p - p_k)$?

I am trying to understand the following piece of text. I am not used to dealing with sound intensity and power so I'm not familiar with the derivation of the formula $(*)$ below. Statement: 1. We ...
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Problem understanding the Expectation Operator

I know that the Expectation Operator $E\{x\}$ four discrete values is $$ \sum_k \alpha Pr(x = \alpha_k)$$ and its very intuitive when speaking out a formula which contains the Expectation Operator. ...
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209 views

How to compute autocorrelation of signal defined by difference equations?

I have no experience with difference equations and I want to learn how to compute the following, but I found no resource online. Any help would be greatly appreciated. Find: $$\mathbb{E}\left[d[n]d[...
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Correlation of a signal

I have one sample for a signal. This sample is a vector of length 384. I need to calculate the correlation matrix for this signal,So I need many samples for the same signal. How can i generate these ...
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How to visualize the autocorrelation matrix and it's properties

Having a hard time wrapping my head around autocorrelation matrix as it applies to a spectral estimation problem like MUSIC or ESPRIT. If the signal vector contains a summation of sinusoids in noise, ...
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Correlation between elements of a video

Should there be an expected correlation between the audio signal and the frame pixel data, considering the frames of a video? If so, what is the reason for such correlation? Pondering over the topic ...
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47 views

Fluctuation of autocorrelation of a signal due to signal's noise

I have a question about the fluctuation of autocorrelation of a signal due to signal's noise. I have a signal defined in $-1\leq t \leq 1$ as the following: $V(t)=kt+R(t)$, where $R(t)$ is the random ...
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Wiener Filter: spacing of the data

I read in an article that for the discrete version of Wiener filter as proposed by Levinson, the data can be arbitrarily spaced. What is implied by this? I believe that the spacing does matter to ...
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Question on Levinson's proposed discrete form of Wiener filter

The whole foundation of Levinson's discrete version of Wiener filter is based on the assumption of stationarity of a time series, and aims to predict a value based on the past observed values. Now, if ...
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Finding the auto-correlation sequence $r_{xx}[k]$ for an AR(2) process

Consider the following recursive difference equation of a LTI system, where $v[n]$ is a white noise, zero-mean process with $\sigma_v^2 = 1$. $ x[n] = v[n] + 0.75x[n-1]-0.25x[n-2] $ I want to ...
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Confusion about PSD and RMS

Let's say I have a noise power-spectral-density (PSD) which is not flat and ranges from 0 to $f_1$ Hz in frequency. As we know, the total area under the PSD is equal to the total average power of the ...
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Does the auto-correlation function of stationary random process always converge?

The auto-correlation function of the stationary random process only depends on the time difference $\tau$. http://web.ntpu.edu.tw/~yshan/chapter6_han.pdf 64th slide of this lecture note mentions ...
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Wiener Filter in Frequency Domain: What it does to a specific Frequency?

As I understand Wiener filter in time domain tries to estimate a signal as close as possible to its (original) non-degraded signal using the degraded signal by white noise. $$H(\omega)=\frac{\Phi_{...
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59 views

While finding the ESD/PSD of a signal why we always prefer to find it via Auto-correlation function then the square of the FT of the signal? [closed]

In a video i saw that while calculating ESD or PSD of a signal time auto correlation function was used when it can be also done by the square of FT of the signal.Why we followed that approach even ...
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55 views

Image Interpolation Using the Yule Walker Equations

I have been studying about the Yule-Walker equations for prediction of a time series data from knowledge of past values of the series. Is there any way I can use the same in an image to exploit the ...
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Positive definites of correlation functions

Say I you have two time series, $x_k, k=1,2$ generated from two, possibly correlated, complex gaussian processes. The lag 0 and 1 auto-correlation estimate for the two time series is denoted $R_{0,k}, ...
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detection of periodicities in n-dimensional signals

Generally speaking, what analyses are necessary and sufficient for the detection of periodicities in an n-dimensional signal amounting to a discretely sampled density distribution over n-dimensional ...
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Why use $\chi^2$ test to determine the presence of white noise?

I want to test for the presence of broadband noise in a snapshot 1000 complex baseband samples recorded by a software defined radio. As a follow-up to this post, why was the $\chi^2$ test used? How ...
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Time Series Extrapolation from existing past values

Using the Levinson-Durbin algorithm, I am trying to predict the next value in a time series based on previous observations, but the results do not follow the trend of the time series. How can I ...
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On the confidence intervals of matrix autocorrelation

Considering the case of signal autocorrelation in 1D, I've read that the distribution of the correlation coefficients $r$ of a white noise (independent and identically distributed random variable) ...
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1answer
106 views

Linear Predictive coding vs AR modeling

I'm looking for a suitable explanation of the circumstances in which the LPC error polynomial for a discrete time process x[n] is replaceable with an error polynomial categorized under the AR model? I ...
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Matrix cross correlation in python

I'm currently performing matrix cross correlation in python using : C = scipy.signal.correlate2d(A,A) where A is a 2D matrix, typically a picture. As you can ...
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Subtracting audio signal emitted - trying to use spectral subtraction to localize moving objects

I am a Software Engineer without much signal processing background and currently spending and experimenting to get use to it. My scenario: Assume a speaker and a microphone array. A speaker emits an ...
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59 views

What exactly does compression say about correlation of data?

I've been using the following formula on various empirical data $d$, to obtain a correlation factor $c_f$:- $$ c_f = { |C(d_s)| \over |C(d)|} $$ where $C$ is a compression function like bz2 or zip, ...
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ACF and impulse response

These are questions according to the system identification. I can understand some questions: Is there a relation between autocorrelation function and impulse response? Is it possible to identify the ...
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41 views

Auto-correlation of the sum of two generic signals

Be $x[n]$ and $y[n]$ two generic discrete-time signals. Given $s[n] = x[n] + y[n]$ I want to evaluate its autocorrelation $R_s[l]$. By definition (https://en.wikipedia.org/wiki/Cross-correlation): $$...
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106 views

The explanation of $|R_{XY}(\tau)| \le \sqrt{R_{XX}(0)R_{YY}(0)}$

If i said the explanation of $|R_{XX}(\tau)| \le R_{XX}(0)$ is that in the time domain,any signal wave are the same as itself when it doesn't shift.Then what is the explanation of $|R_{XY}(\tau)| \le ...
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Synchronization with a specified sequence

I'm currently creating a project in Matlab where I'm simulating a communication, based on the SSB modulation, between a transmitter and a receiver. I've added a Barker sequence in the trasmitted ...
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32 views

Null autocorrelation function and stationary

I can show that a process $X(t)$ is Wide Sense stationary (WSS) by showing that $E[X(t)]$ is constant and that its autocorrelation function is in function of $\tau=t_1-t_2$, that is, $R_X(t+\tau,t)=...
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114 views

Auto-correlation function, an inverse problem

$x[n]$ is a complex function $n=0,1,2,\cdots,L-1 $ we assume $x[n]$ is periodic in its index: $x[n+L]=x[n]$ Its auto-correlation function $C[n]$ is uniquely defined as: $$ C[n]=\sum_{i=0}^{L-1} x[i+...
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Autocorrelation of Addition of Two Independent Signals

Given a random signal $ Z \left( t \right) $ which is addition of two independent signals $ X \left( t \right) $ and $ Y \left( t \right) $ with constant parameters $ a $ and $ b $: $$ Z (t) = aX(t) +...
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175 views

Ornstein Uhlenbeck with drift

The Ornstein-Uhlenbeck (OU) process $dX_t = -\frac{1}{\mu} X_t + \sqrt{\frac{2\sigma^2}{\mu}} dW_t $ generates coloured noise with autocorrelation function $R(t) = \langle X_t,X_{t'}\rangle = \...
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143 views

Harmonics to Noise Ratio Estimation

I'm willing to estimate the Harmonics to Noise Ratio (HNR) of a speech signal x[k] and using autocorrelation method. Theoretically, HNR is given as, $\ HNR = \frac{R_{xx}[T_0] }{R_{xx}[0]-R_{xx}[...
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2answers
102 views

Interpreting this plot cross-correlation

I have an input signal $x(t)$ that is a white Gaussian random signal with mean 0 and variance 1. The signal $y(t)$ is the output of a linear filter with impulse response $$h(t) = |\operatorname{sinc}(...
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2answers
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Calculation of autocorrelation - does calculation “loop”?

With a delay $l$, autocorrelation is defined as: $$r_{xx}(l) = \sum_{n=-\infty}^{\infty}x(n)x(n-l) = \sum_{n=-\infty}^{\infty}x(n)x(n+l).$$ I want to calculate the autocorrelation of a signal $$x(n)...
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58 views

Autocorrelation Matrix of a AR process

i'm beggining to study signal processing, and i'm having trouble on writting it ( specially defining the signal x(n) ) in matlab and finding the solution for this problem, if anyone could help I would ...
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Computing Power spectral Density

Acronyms: Power spectral density, PSD Autocorrelation, AC Hey so I'm in my first ever DSP class and thoroughly enjoy the material, but absolutely suffer in the HW. I have this question ...