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Questions tagged [autocorrelation]

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

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2
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2answers
139 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
123 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
378 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
134 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: ...
1
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1answer
970 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
4k 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
1k 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
243 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
561 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
383 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
257 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
106 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
370 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
980 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
319 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
249 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
177 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
101 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 ...
1
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1answer
141 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
524 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-...
2
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1answer
108 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
921 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
121 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
304 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
512 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 ...
0
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1answer
416 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
295 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
67 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
334 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
156 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 ...
0
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1answer
501 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
375 views

Wiener filter yielding negative MSE (and MMSE)

I implement a Wiener filter using the following code ...
11
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2answers
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, ...
0
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1answer
958 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 ...
0
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1answer
187 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_{...
3
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0answers
331 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
371 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 ...
1
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1answer
2k views

xcorr in MATLAB for periodic function

I have a periodic signal and I want to find it's autocorrelation function. I can calculate it exactly: $$R_{uu}(h) = \frac 1M \sum_{k=0}^{M-1} u(k)\cdot u(k-h)$$ But will ...
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1answer
656 views

What's wrong with this Average Magnitude Difference algorithm?

I implemented this Average Magnitude Difference algorithm in Javascript ...
0
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1answer
1k views

Angle of arrival (AOA) estimation using FMCW radar using MUSIC algorithm

I am working with FMCW phased array radar with only upchirps. The range doppler matrix is obtained using the two dimensional fast Fourier transform on multiple chirps. I want to obtain the angular ...
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3answers
300 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
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1answer
735 views

Time-domain cross-correlation with padded signals [closed]

I have a frequency domain cross-correlation implementation written in C (based on: https://github.com/dMaggot/libxcorr). It uses the library FFTW3 and this is the gist of it: ...
2
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3answers
108 views

Weighted Sum of Auto Correlation - Lower Bound

Given a vector $ v $ with elements $ {\left\{ {v}_{n} \right\}}_{n = - \infty}^{\infty} $ and denoting $ {v}_{n}^{\left( k \right)} = {v}_{n - k} $, namely, a shifted vector by $ k $ elements (Mind ...