# 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 ...
43k 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 ...
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### 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, ...
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### 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 ...
8k 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, ...
5k 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, ...
13k 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 ...
8k 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 ...
1k 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, $x(t)$ ...
107 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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### 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 ...
665 views

### Division by zero in Levinson–Durbin recursion?

I am doing a LPC analysis of a speech signal using the autocorrelation method. To calculate the LPCs I am using the Levinson–Durbin recursion. In my literature the error is initialized with the first ...
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### What is the unit of autocorrelation function?

In general, for autocorrelation of the deterministic signals,from the formula what is the unit of it.