# Questions tagged [autocorrelation]

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

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### Does the autocorrelation function completely describe a stochastic process?

Is a stochastic process completely described by its autocorrelation function? If not, which additional properties would be needed?
3k views

### What is an AMDF?

The wikipedia page for Average Magnitude Difference Function/Formula (AMDF) appears to be empty. What is an AMDF? What are AMDF's properties? What are AMDF's strengths and weaknesses, as compared ...
45k views

### What is the difference between convolution and cross-correlation?

I've found on multiple sites that convolution and cross-correlation are similar (including the tag wiki for convolution), but I didn't find anywhere how they differ. What is the difference between ...
21k views

### Efficiently calculating autocorrelation using FFTs

I'm trying to calculate an autocorrelation on a platform where the only accelerated primitive I have available is the (I)FFT. I'm having a problem though. I prototyped it in MATLAB. I am, however, ...
3k views

### Recommendation for book - Writing DSP code in C

I am looking for some good book, that simply show how you actually write a code in C, to do all the main DSP methods . FFT. Low-pass and high-pass filters. Auto-correlation. Noise processing. And ...
10k views

### Covariance vs Autocorrelation

I'm trying to figure out if there is a direct relationship between these concepts. Strictly from the definitions, they appear to be different concepts in general. The more I think about it, however, ...
469 views

### Help with obtaining the power spectral density of a simple continuous cosine (using both forms of the definition for PSD)

I am trying to go through a simple example to teach myself about Parseval's theorem and calculating power spectral density (PSD) in practice and would be very grateful if someone could check my ...
6k views

### variance in the time domain versus variance in frequency domain

Hi All: I'm trying to better understand the connection between variance of a time series and the integral of the spectral density over all frequencies. Rather than going through all of the relations, ...
10k views

### Conceptually, how does a Fourier transform differ from an autocorrelation?

I realize the two are derived using different algorithms, and the units are different, but from a conceptual standpoint of the information they provide how do they differ? I'm thinking here about the ...
2k views

### Autocorrelation of the product of deterministic and random signal

I was wondering how to calculate the autocorrelation of a deterministic signal $x(t)$ multiplied by a stochastic process $M(t)$, whose autocorellation $R_M(\tau)$ is known a priori. In my case, $x(t)$ ...
14k views

### How to 'whiten' a time domain signal?

I am trying to understand how exactly to implement what is known as a 'pre-whitening' filter or simply a 'whitening' filter. I understand that the purpose is to make it have a delta as its ...
154 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, ...
11k views

### Where does the delta function come from if we derive autocorrelation directly?

I am reading a book "Creating Noise" written by Hollos & Hollos and have a question about the autocorrelation function of the Gaussain white noise when reading the following passage: From the ...
343 views