Questions tagged [autocorrelation]

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

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Linear Prediction Coefficients

I want to learn how to compute linear coefficient, but to be honest - I can't. I know how to use them if i have it and why I want them. Suppose this toy example: A signal $x=[-1, -2, 0, 1]$ ...
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561 views

How to get the autocorrelation of this finite discrete function?

This is the function: $$ x(n) = \begin{cases} 1, & \text{-N $\leq$ n $\leq$ N ;}\\ 0, & \text{otherwise.} \end{cases} $$ And I tried to solve it, using sigma notation or summation: \begin{...
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PSS convertion from Frequency to time domain

Hi I have a question regarding primary sync signal in LTE. It is generated in frequency domain and its length is 63. How to convert this signals frim frequency to time domain. Should I use IFFT? what ...
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323 views

Autocorrelation Lag In Seconds Explanation?

I am using a MatLab audio feature extraction toolbox (MIRToolbox), and I am in the process of cross correlating an onset curve (envelope). I am aware of what the lag means when using Matlab's ...
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42 views

Concepts Surrounding First Two Samples in Difference Equation

I'm attempting to construct a difference equation in matlab for the function u(n) and find the auto-correlation matrix R. I'm following the technique as is defined by my text below: The system I'm ...
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Length and spacing autocorrelation with FFT

I have calculated, with FFT and A-FFT, the autocorrelation of a discrete signal (coming from an integration) with spacing $\Delta T$ composed by $N$ samples padded to $2N$ with zeroes. What is the ...
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Determining Power Spectral Density from Autocorrelation Function and Time-Series Data

So I think I've confused myself a bit here. I know that taking the FFT of time-series data (wind velocities, for example) yields a power spectral density. However, I just read that taking the Fourier ...
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161 views

what kind of information we can get if the auto-correlation for an image is a ring or two rings?

I did the auto-correlation for an image by Mathematica. The auto-correlation function shows rings as follow..I am sorry that I can not attach the original image here. From the following auto-...
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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 ...
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544 views

why is the plot of the PSD of this autocorrelation function oscillating?

I was doing an exercise trying to compute the PSD of the following discrete autocorrelation function: \begin{equation} r_x(m) =(1/2)^{|m|} \end{equation} In this simple matlab code that I came up ...
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Efficient calculation of correlation function every $N^{\rm th}$ point

I would like to calculate a long correlation function of length say, 1e6 points. I have a prior knowledge that the correlation peak will be in point k*1000. Is there an efficient way to apply this ...
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Video: Detecting a digital timer and when it ticks

Input: A video with a digital timer, possibly several hours long, such as this video. The timer might use any font or color, and might be located anywhere on the video, but it probably won't fill the ...
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regarding autocorrelation and derivation of original signal

$$r_x(t)=\begin{cases} 2-2t ,& 0 \le t \le 1\\ 2+2t ,& -1 \le t \le 0 \end{cases}$$ So how do I get original $x(t)$ from this? I tried integrating the equations, and the value I got was ...
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623 views

Least Squares and Auto and Cross Correlation

I am trying to understand why auto and cross correlation helps find the best fit line in least squares. I have an equation as stated here: $Ax=b$ -- I have not exact solution, so I use the least ...
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248 views

Ambiguity function of multiple sines

I was reading through the Ambiguity function, and I was wondering if it's possible to calculate analytically (or numerically) the ambiguity function of a sum of sine waves. In case of a single sine ...
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autocorrelation A to K conversion for LPC speech analysis?

I am building an LPC analysis tool for speech synthesis and did the following to generate my a0 through a10: ...
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207 views

Auto/cross correlation of a cosine in the context of an adaptive beamformer

I am currently reading chapter 13 of 'Adaptive Signal Processing' by Widrow and Stearns, so if anyone happens to have a copy of the book to hand it could be helpful. I am reading the chapter on "...
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1answer
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Improving an auto-correlation based guitar pitch detector

I've seen many questions on this forum regarding pitch detection for musical instruments (commonly guitar), and spent a while reading through the answers to create a basic implementation of auto-...
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328 views

Uses of peaks in audio auto-correlation

Do you know of any algorithms for audio processing that make use of peaks in auto-correlation function? I am currently involved in research on mapping methodology for dynamic algorithms. I came ...
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99 views

How do we compute distrubtions of the value of a random process conditional on initial conditions?

Suppose I have a stationary process $\phi(t)$ with a known autocorrelation function $$ A(\tau) \equiv \langle \phi(0) \phi(\tau) \rangle$$ and suppose I also know that $\phi(t)$ is Gaussian ...
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Construct a correlation matrix using the covariance method

I want to compute the autocorrelation matrix by using the covarience method. X(n) is the harmonic process $X(n) = \sum\limits_{i=1}^3 A_i e^{jn\omega_i} + V(n)$ $V(n)$ is unit variance noise. $ ...
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743 views

A filter in IOS to eliminate a certain frequency range

I am making an application where I record sound on an IOS device using the built-in microphone. I want to process the sound in such a way that only frequencies in the 16-18 kHz range remain; the other ...
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Get a power spectral density from real random data

I am using real data of wind, which is a random one to get the power spectral density of these values. How can I do to get this PSD in matlab, and Can I get an analytical expression for this psd. ...
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939 views

Autocorrelation and FFT : avoid zero-padding

Some posts evocate the computation of convolution or cross-correlation using FFT and zero-padding the temporal signal. I want to compute the autocorrelation of a 3D array using FFTW (2 dimensions are ...
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How to construct Polyphase (Frank) codes in MATLAB

I have written a piece of code in MATLAB to generate Frank codes - Pastebin link for pulse compression. I know that Frank codes are stepped frequency approximations to Linear Frequency modulation(LFM)...
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607 views

Kalman Filter Estimate vs ACF Least Squares Estimate

I am currently reading Chapter 5, Applications to the Gas Markets, in Stochastic Modelling of Electricity and Related Markets by Benth, Benth and Koekebakker, World Scientific, 2008. In the ...
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Equivalence of FFT and PSD based output based on the Frequency Response Function

Correct me please if I am wrong... I have just started working in the domain of signal processing using the Fourier Transform ($\mathbf{FFT}$) and Power Spectral Density ($\mathbf{PSD}$). I am trying ...
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477 views

Autocorrelation of a signal comprised of only the same number

In MATLAB I generated a signal and its autocorrealtion function using: signal = ones(1,500).*5; % a vector of the number 5 acf = autocorr(signal,numel(signal)-1)); To my suprise the resulting ...
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Cross-Correlation : Comparing two signals or finding the location of a target

I read across places that cross-correlation of two signal (a radar sending a signal and receiving it back) one can detect the location (distance) of a target from a point and that cross-correlation ...
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Correlation : Cross correlation why we need to multiply the samples

I understand what books states about cross-correlation of signals and their mathematical representation: For continuous functions f and g, the cross-correlation is defined as: $(f \star g)(\tau)\ \...
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Autocorrelation of white noise

Autocorrelation of white noise should have a strong peak at "0" and absolutely zero for all other $\tau$ according to this. Then why is output of this code a cone shape (with the expected of strong ...
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Correlation meter

I have three questions regarding the correlation meters used in audio. How are they calculated? I have heard correlation is performed by convolving one signal with the time flipped version of a other,...
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The autocorrelation of a WSS process as a linear operator

If I'm given a autocorrelation matrix of a WSS process what interpretation should I put on the resulting vector. More concretely the matrix takes the form $\begin{bmatrix} x_1 & x_2 & \...
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425 views

Reliable peak picking algorithm?

I've written an application that estimates pitch based on autocorrelation function. I did peak picking by comparing vector values to determine whether the central one is a peak or not, but this method ...
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161 views

Autocorrelation of a signal with gaps

I am trying to find the analytic expression of the autocorrelation function for a signal $X(t)$ which is defined as follows. $X(t = 0) = 1$ At random times jumps to $X(t) = 0$ happen The jump ...
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Random jump process between {-1,1} with time delay [closed]

I want to calculate the autocorrelation function $R_{xx}$ of the signal $X\in\{-1,1\}$ that jumps with probability p between the two values: \begin{equation*}X_{k+1} = \begin{cases} X_k &1-p \\ -...
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How to get the melody from a signal

I'm trying to retrieve a melody from a signal (simple sine with 3 notes). I've windowed the signal and performed autocorrelation to get the fundamental frequency of each window and then converted ...
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Noisy Signal auto/cross-correlation

I am trying to understand the basics of the cross/auto-correlation if the noisy signal $y(t)$ which is received from the channel at the receiver. Here at receiver we want to estimate the noise in the ...
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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, $x(t)$ ...
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Autocorrelation of a telegraph process/constant signal

I am trying to calculate the autocorrelation function for the telegraph process, but I somehow don't get the right results. I am calculating the correlation function of a signal X which can take ...
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1answer
624 views

Expectation of product of Filtered White Gaussian Noise

Assume I have a random process $X(t)$ that is white gaussian noise with psd $S(f)$. Now, let's filter that noise through a LPF of bandwidth $B$. How would I evaluate the following expression: $$E[S(...
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Autocorrelation - cyclic vs acyclic

In terms of signal analysis (especially frequency decomposition) would it be bad to use cyclic autocorrelation (AC) instead of acyclic/linear AC? My use case: I'm trying to characterize events in a ...
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Obtaining power spectrum from ACF, FFT using Matlab and FFTW

I am using Matlab R2012b 64-bit on Windows 7 in order to estimate the power spectrum of a simple signal that is: $$\cos(10t) + \sin(20t) $$defined in the time interval from 0.0 to 10.0 Here is what ...
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767 views

Autocorrelation Function and Power Spectrum

My aim is to determine the power spectrum of a signal of finite duration using Its autocorrelation function Performing FFT directly on the time-domain data The function is defined as follows in the ...
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Correlation Using FFT / IFFT (Convolution in Frequency Domain) in Java

I try to find about the delay between two audio files using Cross Correlation in Java. I've already done this algorithm so far that i get a idea about how many samples is the delay. FFT x1 -> Zero ...
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Convolution sum vs auto-correlation problem

I had an exam one of these days and one of the questions was: "Knowing that an auto-correlation estimator of a sinal x[n] could be defined by: $$ R_{xx}[k] = \sum_{n=-\infty}^{+\infty}h[n].x[n+k] , ...
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How to find peaks and periods?

I am looking at data like this: Source data: http://pastebin.com/raw.php?i=L6cd8d5K The data is quasi-periodic, there is a distinct cycle but it is not an exact repeat, and the period changes ...
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Determining the uncertainty of an autocorrelation

My problem should probably be built up from the beginning, so lets start there. I performed a certain experiment 25 times. Every time, the experiment consists of 5000 measurements, and each ...
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13k views

Autocorrelation function of a discrete signal

For a certain experiment of which I have data, I want to calculate the autocorrelation of the measurements. For this I used the expression from Wikipedia, which reads Here, $n$ is the dataset's size, ...
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254 views

ACF and PACF Confidence Levels for ARMA

I'm trying to figure out where exactly to draw the confidence levels for the autocorrleation function (ACF) and the partial autocorrelation function (PACF) for an ARMA model. For PACF I found that a ...