Questions tagged [autocorrelation]

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

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33 views

What's the relation between frequency band of $X(j\omega)$ and $\Phi_{xx}(j\omega)$?

in which: $x_{c}(t)$ is a continuous-time signal $X(j\Omega)$ is the Fourier Transform of $x_{c}(t)$ $\Phi_{xx}(j\Omega)$ is the Power Spectrum Density of $x_{c}(t)$ which defined as Fourier ...
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33 views

auto-correlation of differentiator

How to do this entirely in the time-domain, without using frequency domain? Let's say I have a continuous-time system that is a differentiator, and X(t) is WSS: $$x(t) \rightarrow \boxed{\frac{d}{dt}} ...
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127 views

Power Spectral Density from Probability Density Function

The samples of a signal $x[n]$ are i.i.d. and follow a triangular pdf with $a = 0,\ b = 2,\ c = 1$: The DC-power of the signal is $$\mu_x^2 = \big(\mathbb{E}(X)\big)^2 = \left(\int_{-\infty}^{\infty} ...
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30 views

correlation matrix vs. correlation function?

Can someone help me understand the difference between a 1-dim autocorrelation function and a 2-dim autocorrelation matrix of a random process aka time series? My Leon-Garcia textbook defines CX(τ) and ...
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1answer
17 views

Are ACF plots sufficient to detect white noise assuming probable existence of non linear associations?

ACF plots use autocorrelations tests to determine associations in time series. Autocorrelations, however, only measure linear associations. To my understanding, certain non-linear associations can ...
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25 views

aperiodic auto correlation properties

I'm reading about PSC (primary synchronization code) in UMTS. It is a so-called Golay sequence. It is said it has a good aperiodic auto correlation properties. What does it mean (in terms of aperiodic)...
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50 views

Welch's method, no windowing function

I'm trying to pick a method to increase the bin-width on several discrete Fourier transforms I'm incorporating into some scientific analysis code. I have several questions about how this could work ...
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39 views

Autocorrelation not as expected

I am trying to find the autocorrelation function on the intensity of a pixel over time stored in an array "Intensity". Usually one would expect the highest point to be at t = 0 and then decay. I am ...
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16 views

Error in measuring wavelength/frequency using autocorrelation

I am currently using these two fonctions to compute to autocorrelation of a signal in order to measure the wavelength: ...
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2answers
82 views

Autocorrelation function and correlation integral

I am confused by the definition of autocorrelation function. It is originally defined as the expected value $$R_{XX}(\tau) = E[(X(t)X(t+\tau)] = \langle X(t)X(t+\tau)\rangle\tag{1}$$ where $\langle\...
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50 views

Evaluating discrete spectral density at only a few frequencies

I'm trying to obtain the spectral density at three particular frequencies for a computational chemistry problem that I'm working on (if you are curious, it has to do with the estimation of Nuclear ...
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22 views

argmax of the cross correlation

I want to find the shift between 2 signals $\sin a$ and $\sin b$ where (with Matlab code) $$ a = \{0, 1,2,3,4\} $$ $$ b = a +1 $$ $$ \implies b = \{1,2,3,4,5\} $$ then $$ \arg\max \sin a = 2 $$ and ...
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Calculation of channel autocorrelation for LMMSE

I am currently trying to implement an LMMSE estimator/equalizer for a python based ofdm receiver. The actual reception is done with a SDR and iq-samples are stored in a file for the "ofdm-receiver" ...
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1answer
52 views

Blackman-Tukey Autopower equation

I am looking over Blackman-Tukey method for Autopower. It uses the DFT after a window is applied on a autocorrelation. $$ Power Spectrum = \frac1{2\pi} \ \sum_{(k=-(N-1))}^{N-1} w[k] R[k] e^{-i\...
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What does $x^*$ mean in autocorrelation

Suppose $x[n]$ is a sequence of length $N$. Following formual defines circular autocorrelation sequence of $x[n]$: $$r_{xx}[m] = \sum_0^{N-1}x[n]x^*[n-m \mod N]$$ What does $x^*$ mean in this equation?...
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58 views

Calculate autocorrelation of a sinus

I am a beginer in signal processing. I am currently studying a signal $s(t) = \cos(h(t))$, and I have to calculate its autocorellation. Since $h(t)$ is periodic of period $T_s$, I calculated the value ...
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92 views

Contradictory results from power spectral densities and autocorrelation in shot noise

I have a white noise generator circuit which involves a Zener diode meant to undergo breakdown across a resistor $R1$, and am trying to compare power spectral densities and autocorrelation of the ...
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81 views

Does a signal and its autocorrelation ever have the same Fourier spectra?

My understanding is that Fourier power spectra give the frequencies and corresponding intensities/amplitudes contained within a signal. In certain techniques, such as molecular dynamics, it is common ...
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62 views

How to calculate the coefficients of Auto regression model of multiple data?

I have ACF of a time series data, I want to interpolate the ACF using AR model for which I need to calculate the coefficient of the AR model The problem is I have (6000x6000) matrix of ACF and I cant ...
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55 views

Questions about autocorrelation, correlation, and randomness

I'm learning about autocorrelation functions and trying to calculate some from a time series. Conceptually, what is the difference between the following two autocorrelation functions? $$g_{1}(\tau)=\...
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1answer
78 views

Kronecker delta instead of dirac delta as correlation function of white noise

From my understanding, if you have a sample $x_{t_1},\dots,x_{t_n}$ of $X_{t_1},\dots,X_{t_n}$ which are iid $N(0,1)$, then $x_{t_1},\dots,x_{t_n}$ is a sample path of Gaussian white noise. However, ...
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296 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 ...
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1answer
43 views

Autocorrelation - Understanding reduced correlation at periodic time shifts using np.correlate (versus statistical autocorrelation)?

I'm going through the Think DSP by Allen B. Downey, and I'm struggling to understand a specific aspect of np.correlate and how it differs from statistic autocorrelation. The question is at the bottom, ...
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1answer
70 views

Power spectrum of uniform white noise

Given a white noise image $W_{i,j} \sim U[a,b]$ where each pixel is distributed uniformly in $[a,b]$, how would I go about computing its power spectral density? That is, I want to find $E[|\hat{W}_{i,...
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27 views

Mean of input based on acf of filtered output

By looking at the ACF of the output of a filter whose impulse response I know, can I approximate the mean of the input? For example ...
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1answer
98 views

Autocorrelation of LTI system output

I'm having trouble showing the following relation: The autocorrelation of a LTI system with impulse response $h[n]$, input $x[n]$ and output $y[n]=h[n]*x[n]$ is given as: $r_{yy} = r_{hh}*r_{xx}$ ...
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56 views

Why are the Fourier transforms of autocorrelation and cross-correlation different?

I'm almost definitely misunderstanding this, but as far as I can tell we can equate the Fourier transform of the auto-correlation function $R_{xx}(\tau)$ with power spectral density (PSD) like so: $\...
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112 views

Get autocorrelation function from the power-spectrum (python)

I am trying to compute the autocorrelation function of a signal for which I only know the power-spectrum. In order to test my approach I wanted to try it out on the spectrum of $1/f^2$ noise for ...
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1answer
266 views

Power Spectral Density (PSD) from autocorrelation

I have a 1D fractional Brownian motion (fBm) signal, $u(x)$, of size $N$, generated through a random number generator with a gaussian mean, $\mu=0$, and standard deviation, $\sigma=\sqrt{N}$. I want ...
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1answer
50 views

Autocorrelation to diagnose faults

I'm attending a very practical course on signals and i have some doubts, i hope to receive answers in layman terms. 1) My prof said i can use the autocorrelation of the output of a process to ...
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59 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 ...
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1answer
91 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\...
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38 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 ...
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1answer
74 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 ...
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23 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, ...
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1answer
68 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 ...
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1answer
267 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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20 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 ...
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1answer
53 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 ...
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82 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 $n=0,1,2,3$ ...
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226 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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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 ...
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22 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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59 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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224 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 ...
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1answer
544 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 ...
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45 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 ...
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1answer
145 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,...
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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 $X_t = c\ \text{cos}(\omega t)$...
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1answer
468 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 ...

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