Questions tagged [autocorrelation]

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

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282 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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3answers
178 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
84 views

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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1answer
33 views

Is there a closed form solution for a temporal calibration of two different signals?

Given two signals $f_1(t),f_2(t+dt)$ where $t$ is time and $dt$ is the time delay between the two signals, is there any closed-form solution with respect to $dt$? what are the efficient global ...
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2answers
500 views

Autocorrelation of discrete signal $\sin{2\pi fn}$

Determine the autocorrelation $r_{xx}[m]$ of the discrete signal $$x[n] = (\sin2\pi fn).$$ where $n$ and $m$ are integers. Using the definition I get $$\begin{align} r_{xx}[m] &= \...
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2answers
109 views

Derivation of $ R_{N(t)}(\tau) $ from its $f_{N(t)}(\eta)$

How can we prove the auto-correlation function of white gaussian noise $\{ R_{N(t)}(\tau) \}$ is $\frac{N_0}{2} \delta(\tau)$ from its p.d.f in equation below? $$ f_{N(t)}(\eta)=\frac{1}{\sqrt{2 \pi \...
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2answers
146 views

How to calculate time of arrival using room impulse response

I need to find the timestamp of arrival of a particular signal at a receiver location within a room. The known parameters are the room impulse response h for a ...
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2answers
148 views

Finding number of independent samples using autocorrelation

I have a pressure signal (y) with 512000 samples and with a sampling frequency ...
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2answers
424 views

Autocorrelation of a Shifted Sequence

Suppose I have a sequence $x[k]$ with $\mathcal{Z}$-transform $$ X(z) = x_{0} + x_{1}z^{-1} + x_{2}z^{-2} + \ldots + x_{N-1}z^{N-1}$$ I know that for real-valued $x[k]$ the $\mathcal{Z}$-transform ...
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1answer
148 views

Doubt about wide sense stationary random process

I have white Gaussian noise $F[n]$ with zero mean and autocorrelation $R_F[n_1,n_2]=\delta[n_1-n_2]$. If now I consider the random process defined as $$X[n]=u[n]e^{-kn}F[n]$$ Is $X[n]$ a wide-ense ...
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1answer
2k views

Pitch estimation using the autocorrelation method

I have the following code: ...
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1answer
1k views

proof of Autocorrelation property of DFT

I am facing problem in proving the Auto-correlation property of Discrete Fourier Transform (DFT), that is $$\mathcal{DFT}\left\{\sum_{r=0}^{N-1}x[r]x^*[r+n]\right\} = X[k]X^*[k]= |X[k]|^2$$ where $X[...
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1answer
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, ...
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2answers
2k views

Definition of average power?

There are two kind of average power I encountered in random signal class and textbook: definition 1: average power =$$E[|x(t)|^2]=R_{xx}(0)=\int^\infty_{-\infty} S_{xx}(f)\,df$$ definition 2: average ...
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1answer
265 views

Autocorrelation and PSD

Let $X(t)$ and $Y(t)$ be two orthogonal processes with power spectral densities $$S_{xx}(f) = S_{yy}(f)=\begin{cases} 1-\lvert f\rvert, & \lvert f\rvert<1 \\[1ex] 0,& \text{otherwise} \end{...
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4answers
629 views

Can this be considered wide sense stationary?

I was discussing this problem with one of my classmates. The picture shows a recording of the heart rate during before and after sleep. Can the whole process be considered wide sense stationary? (I ...
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1answer
420 views

Solving Wiener Hopf integral equation for causal filter of predictor

Given a stochastic signal $x(t)$ with autocorrelation function $R_{xx}(\tau)=\mathrm{exp}(- \alpha|\tau|)$, $\alpha>0$. I want to predict $x(t+\lambda)$,$\lambda>0$ by $x(t-\tau)$, $\tau\ge0$ ...
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1answer
268 views

Autocorrelation function

For what signal applies, that its autocorrelation function at point $0$ is zero, i.e. $R_f(0) = 0\ ?$ I know that autocorrelation is (RootMeanSquare)^2 and for $R_f(0)$ this equals: $$ R_f(0) = \frac{...
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2answers
146 views

Difference between $\mathbb{E}[\mathbf{x} \mathbf{x}^{\rm{H}}]$ and $\mathbb{E}[(\mathbf{x}-\boldsymbol{\mu}) (\mathbf{x}-\boldsymbol{\mu})^{\rm{H}}]$

Let us have a random vector $\mathbf{x} \sim \mathcal{CN} (\boldsymbol{\mu}, \boldsymbol{\Sigma})$ with $\boldsymbol{\mu} \neq \mathbf{0}$. What can we say about the relationship between the elements ...
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0answers
116 views

Autocorrelation of two dirac pulses

I am given a channel impulse response: $$h(t) = 0.8 \times \delta(t) + 0.6 \times \delta(t - T)$$ where $\delta(t)$ is the dirac function. For signal equalization a MMSE equalizer with 5 ...
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1answer
414 views

Finding autocorrelation matrix of an autoregressive process AR(1)

Having that $\ v(n) = [x(n),x(n-1),x(n-2))]^T $, and being $\ x(n) $ an autoregressive process AR(1) with known variance $\ \sigma_v^2 $ and transfer function $\ H(z) ={ 1 \over {1-0.7z^-1}}$, how ...
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1answer
1k views

Show That the Power Spectrum Density Matrix Is Positive Semi Definite (PSD) Matrix

Given a Wide Sense Stationary Multi Variate (Vector) Random Process $ \boldsymbol{x} \left[ n \right] $ it Auto Covariance Matrix Function is given by: $$ {R}_{x, x} \left[ m \right] = \mathbb{E} \...
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0answers
341 views

Power Spectral Density of a WSS Random Process with 2D Discrete Fourier Transform

I'm trying to understand how the random process (RP) signal in discrete time domain is related to its power spectral density (PSD) in frequency domain if the signal is wide sense stationary (WSS). If ...
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1answer
262 views

What is the significance of a spike like autocorrelation function

I have some questions and doubts to which the answers are difficult to extract from text books. Hence I have posted this question here. Help would be extremely beneficial. Thank you. (1) The ...
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2answers
215 views

Autocorrelation function $R_{yy}(t_1,t_2)$?

If $x(t)$ is a zero mean stationary Gaussian process and if $y(t)=x^2(t)$,then $\{y(t)\}$ is called a square law detector process. Now i want to find autocorrelation function $R_{yy}(t_1,t_2)$,that is ...
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1answer
103 views

perfect sequences

I have heard somewhere that sequences with perfect autocorrelations and crosscorrelations do not exist. I have been searching for an insight into this claim, but have not been successful. Can anyone ...
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1answer
162 views

Response of Linear System to Stochastic Process

Somehow I am getting the variance{u(n)} equal to '0' !! This is the case when I take the coefficient 'a' as real. As it is not mentioned in the question I need to find the solution to this question ...
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1answer
559 views

How does sampling rate impact Discrete-Time Kalman Filter state space modeling assumptions?

Consider a very simple, discrete-time constant position-type model for state updating in a Kalman filter: $$ x_{k+1} = x_k + w_k $$ The Kalman filter will be run with update interval $T_s$ such that ...
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0answers
63 views

Auto-correlation of time signals [closed]

I'm interested in papers which are about auto-correlations of periodic time series signals.All relevant papers and applications are interesting to me, as I am studying the properties of the auto-...
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1answer
110 views

Destructive interference on the Autocorrelation of the time signal of periodic CPFSK-signals.

An FSK-signal with a frequency-shift $\Delta F$, a symbol-stream $x$, $x(n) \in {\{-1,1}\} $ and symbol duration $T$ has the complex envelope: $$f[x](t)=\exp\left(2 \pi i \Delta F T \left(\sum_{l=0}^{...
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1answer
988 views

Python different autocorrelation with FFT and non-FFT

Im trying to calculate the autocorrelation of soundwaves when I noticed that I get different results with scipys FFT based and with numpys methods. The 4 functions Im using: ...
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2answers
2k views

Find autocorrelation of exponential signal $a^nu[n]$

I need to find the autocorrelation of the following discrete signal $$x[n]=a^nu[n] $$ So I tried finding the convolution of $x[n]$ and $x[-n]$. \begin{align} \phi_{xx}[n]&=\sum_{m=-\infty}^\...
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1answer
124 views

Transform coding gain of two channel Haar Wavelet transform (first stage)

Question My interpretation Work I'm attempting to do this in MATLAB. I know that for discrete Random Processes going into an LTI system the autocorrelation function of the output is $R_y[n] =...
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1answer
306 views

Auto-covariance of the product of deterministic and wide-sense stationary signal

Anybody give me an advice how to find the auto-covariance of the product of deterministic and wide-sense stationary signal. I couldn't find how to solve this, I have looked and searched the internet, ...
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2answers
609 views

Understanding the definition of mean/autocorrelation

I was studying about the definitions of mean, expected value and autocorrelation. I wanted to verify my understanding the evaluation of mean, expected value and autocorrelation. At the same time to ...
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1answer
440 views

Autocorrelation strange results?

I'm trying to do autocorrelation with numpy in python but i'm getting strange results : For a simple 440Hz sine wave sample : This is the result of autocorrelation : Is this normal ? Maybe I'm not ...
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2answers
313 views

Calculate lines of the Inverse of Autocorrelation Matrix

I need to calculate the inverse of a autocorrelation matrix $$\mathbf R_{xx} = E\left\{\mathbf x \mathbf x^T\right\}$$ Where the samples $\mathbf x$ are $266000\times 1$ vectors, which means I'll ...
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1answer
2k views

How to extract prosodic cues from a wav file using Python

How do I extract the following features as from wav files in Python - Voicing rate (Voice rate) - frequency of phonemes while speaking, and represents the pace of a conversation Number of ...
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3answers
1k views

Guitar pitch detection with autocorrelation

This link provides code for an autocorrelation-based pitch detection algorithm but says: Cons: Not as accurate, doesn't work for inharmonic things like musical instruments, this implementation has ...
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0answers
74 views

derive AR model based on the autocorrelation of jakes model

I am trying to derive the channel model based on the autocorrelation of Jakes model. In step 2, i am trying to get rid of $s(n+1)$ by inserting it to $s(n-k)$ in which the limit will change. However i ...
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1answer
3k views

How to find the period of a noisy signal using MATLAB's $\tt xcorr$?

Here is my code: function [ T ] = FindPeriodicity2(x,Fs) ac=xcorr(x,x); [~,locs]=findpeaks(ac); T=mean(diff(locs)/Fs); end and when I pass the signal ...
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1answer
362 views

Reconstructing Signal From Its Cyclic Autocorrelation

Can a signal be reconstructed from its cyclic autocorrelation? Specifically, if we know $$ R^{\alpha}(\tau) = \int{x(t)x^{\ast}(t-\tau)e^{-j2\pi\alpha t}\mathrm{d}t}, $$ can we reconstruct $x(t)\in\...
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1answer
168 views

Estimating confidence intervals for the mean value

Say I conducted a numerical experiment -a time-dependent fluid simulation- and extracted a time-series of some variable. It looks like this: As a result of the simulation, I am supposed to report the ...
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1answer
542 views

What kind of filter I should use to remove the oscillations in this autocorrelation function?

I have an autocorrelation function which is shown as following, I do believe these trailing oscillating wigs are spurious and should be removed by some kind of filter. But I am not familiar with any ...
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0answers
403 views

Wiener filter yielding negative MSE (and MMSE)

I implement a Wiener filter using the following code ...
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2answers
9k 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, ...
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1answer
1k views

How to calculate autocorrelation function of an image noise

I am trying to calculate the autocorrelation function of an image noise. Specifically, I want to calculate the NCORR parameter in the function deconvwnr(). I have knowledge about the noise, which is ...
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1answer
203 views

LTI filtering for wide-sense stationary process

Why is it that if $U[n]$ is wide-sense stationary and it is convolved with $h[n]$ to produce $W[n]$, the autocorrelation becomes $R_{WW}[n] = R_{UU}[n]*h[n]*h[-n]$? I know that in general $R_{WW}[n_{...
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0answers
348 views

What is the autocorrelation equivalent of the spectrogram called?

I'm very knowledgeable about the differences between the Fourier transform, and the autocorrelation; mainly that one converts the time domain to the frequency domain, and the other finds periodicities ...
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1answer
426 views

finding period with autocorrelation is not correct

I have recorded a signal, which I know is periodic (apart from noise). The period length is unknown. I want to extract the last period from the signal. Before going to a noisy signal, I first tested ...