The Stack Overflow podcast is back! Listen to an interview with our new CEO.

Questions tagged [autocorrelation]

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

Filter by
Sorted by
Tagged with
0
votes
0answers
17 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 ...
0
votes
1answer
49 views

What is the meaning of **Sample** in **Sample ACF**

What is the meaning of Sample in Sample ACF (autocorrelation function)
1
vote
0answers
49 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 ...
6
votes
2answers
437 views

Efficient calculation of correlation function every $N^{\rm th}$ point

I would like to calculate a long correlation function of length say, 1e6 points. I have a prior knowledge that the correlation peak will be in point k*1000. Is there an efficient way to apply this ...
2
votes
1answer
85 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
votes
0answers
25 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 ...
0
votes
2answers
58 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 ...
1
vote
1answer
92 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,...
3
votes
2answers
3k views

Correlation Using FFT / IFFT (Convolution in Frequency Domain) in Java

I try to find about the delay between two audio files using Cross Correlation in Java. I've already done this algorithm so far that i get a idea about how many samples is the delay. FFT x1 -> Zero ...
0
votes
0answers
27 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 $X_t = c\ \text{cos}(\omega t)$...
0
votes
1answer
69 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 ...
3
votes
1answer
62 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
votes
1answer
21 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
votes
1answer
218 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 ...
0
votes
1answer
679 views

Determining the autocorrelation sequence from an AR model

I have the following equation: $$x(n)=\frac{14}{24}x(n-1)+\frac{9}{24}x(n-2)-\frac{1}{24}x(n-3)+w(n)$$ where, $w(n)$ is a stationary white noise process with variance $\sigma^2_w$ Now, I want to ...
1
vote
2answers
81 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 ...
1
vote
1answer
320 views

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 ...
0
votes
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
votes
1answer
48 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 ...
1
vote
2answers
262 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}[...
3
votes
4answers
1k views

Advice on autocorrelation via FFT

I have been creating an application in Java that transforms an audio signal and writes it to a midi file. At first I tried using autocorrelation to find the fundamental frequency. However, I have ...
0
votes
0answers
35 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 ...
2
votes
2answers
64 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 ...
-3
votes
2answers
86 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 ...
1
vote
1answer
47 views

Why autocorrelation can be more efficiently calculated using the fft

Can anyone explain why autocorrelation can be more efficiently calculated using the fft ?
0
votes
2answers
114 views

Finding number of independent samples using autocorrelation

I have a pressure signal (y) with 512000 samples and with a sampling frequency ...
0
votes
0answers
44 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
votes
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 ...
1
vote
1answer
592 views

Finding the fundamental frequency from Autocorrelated data

I'm writing an app in which I need to find the fundamental frequency of a note produced by a trombone. To do this I'm taking the FFT of audio data from a microphone and then using autocorrelation code ...
2
votes
2answers
149 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}(\...
2
votes
1answer
95 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
votes
0answers
38 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($\tau$)=...
-1
votes
3answers
290 views

Derivation of PSD of sampled bandlimited random process

When a bandlimited random process whose PSD \begin{equation} S(\omega) = \begin{cases} \frac{N_0}{2} & -10B<\omega<10B\\[2ex] 0 & \text{otherwise.} \end{cases} \end{equation} is ...
0
votes
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
54 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 ...
0
votes
1answer
32 views

Particular Correlation formula

I'm reading a book where the autocorrelation of white noise is expressed as: What is the term $Q(k)$ and why is is expressed as an average value of a dot product ?
1
vote
3answers
656 views

Least Squares and Auto and Cross Correlation

I am trying to understand why auto and cross correlation helps find the best fit line in least squares. I have an equation as stated here: $Ax=b$ -- I have not exact solution, so I use the least ...
1
vote
1answer
71 views

Mathematical description of the ACF using fft2

I computed the acf of an image with the following code: ...
0
votes
1answer
881 views

Autocorrelation: numpy versus FFT

I have a series a of values (0 and 1) coming from a Brownian process with drift for which I am studying the autocorrelation. I used two methods: 1) numpy autocorrelation: ...
3
votes
1answer
141 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
votes
0answers
19 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
votes
1answer
70 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 ...
0
votes
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
vote
1answer
57 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
259 views

Autoconvolution vs Autocorrelation

I have a serious doubt about Autocorrelation and AutoConvolution. My understanding is, Autocorrelation Autocorrelation is ...
0
votes
0answers
22 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
353 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
vote
0answers
49 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
vote
0answers
29 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
vote
0answers
55 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 ...