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Questions tagged [autocorrelation]

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

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13
votes
4answers
21k views

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, ...
5
votes
1answer
566 views

Relaxation time in a stationary stochastic process

Foreword: I'll give some background here because I'm not sure all my premises are correct. I encourage you to IGNORE THE BACKGROUND, unless you're really interested / bored :) The Question I want to ...
9
votes
1answer
260 views

Unit Problem in Designing a Filter for a Given Auto Correlation Function

Given a WSS process with the following Auto Correlation Function: $$ r\left ( \tau \right ) = {\sigma}^{2} {e}^{-\alpha \left | \tau \right |} $$ The Laplace Transform would be: $$ R \left ( s \...
12
votes
4answers
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 ...
34
votes
1answer
8k views

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?
11
votes
3answers
22k views

Autocorrelation in audio analysis

I'm reading up on Autocorrelation, but I'm not sure I understand exactly how it works and what output I should expect. Am I right in thinking that I should input my signal to the AC function and have ...

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