Questions tagged [autocorrelation]

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

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Finding a region where a function is periodic

I am looking for a method to find the region where a function is periodic. So, for example, I have a function that is periodic in some places and not in others, I would want to know the range of x ...
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297 views

Proving a cyclostationary processes signal

Suppose a random signal $x(t)=\sum\limits_{n=-\infty}^\infty Z_n \delta(t-n\tau)$, where $ z_n = Z$ and $Z$ is a random variable with equal probability to be $+-1$, is passing through a low pass ...
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616 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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3answers
263 views

Isolate recurrent pattern vs. evolving background sound

Here is a sound example for what follows. Let's assume we have a signal $$s(t) = r(t) + e(t)$$ where: $r(t)$ is a signal which is recurrent with a given period, i.e. in my example $r(t) = $ the ...
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143 views

PSD and $\lim_{T\rightarrow \infty} \frac 1 {2T} \int_{-T}^T x(t)\bar y(t)\,dt$

From Wikipedia, I taken a definition of power spectral density: For continued signals that describe, for example, stationary physical processes, it makes more sense to define a power spectral ...
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2answers
1k views

How identify echo patterns in audio samples

How do I estimate if in recorded sound samples is present an echo caused from walls reflection ? (maybe there are multiples echoes: delayed, attenuated versions of the signal itself). I'm recording ...
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1answer
80 views

How to find the fundamental frequency of a discrete signal using partial autocorrelation?

I hope you can help me with this question. I am trying to calculate the fundamental frequency (to know the beats per minute) of a cardiac pulse signal using partial autocorrelation. I use a 12-bit ...
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1answer
73 views

Relationship between the autocorrelations of X(t) and X(nt)

Defining: $X(t)$ WSS random process with autocorrelation function $R_{X}(\tau) = \mathbb{E}[X(t)X(t+\tau)]$. $Y[n] = X(nT)$ (sampling of $X$ at a rate $\frac1T$) with autocorrelation function $R_Y(\...
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1answer
756 views

Does the Wiener–Khinchin-Einstein theorem hold for non-Gaussian processes? If so are there any assumptions?

The Wiener–Khinchin-Einstein theorem states that the auto-correlation $(r_{xx}(\tau))$ and spectral density $(S(f))$ are Fourier duals, i.e. $$r_{xx}(\tau) = \int^{+\infty}_{-\infty} S(f) \exp\left( ...
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1answer
658 views

Finding the fundamental frequency from Autocorrelated data

I'm writing an app in which I need to find the fundamental frequency of a note produced by a trombone. To do this I'm taking the FFT of audio data from a microphone and then using autocorrelation code ...
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5k views

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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1answer
3k views

If an autocorrelation function of a process is a rectangular function, then is the process deterministic?

I would like to clarify one doubt regarding autocorrelation function $R_x (\tau)$ of a process $X(t)$. Suppose $R_x (\tau) = \Pi (\tau)$, where $\Pi (\tau)$ is the rectangular function. Then is the ...
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1k views

signal uncorrelated with delta in the origin

I have a stochastic process completely uncorrelated. Why the autocorrelation function has a delta of dirac in the origin? Which is the reason of that? $R_{XX}({\tau})=A{\delta(\tau)}$ where $R_{XX}$ ...
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1answer
105 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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853 views

Does the auto-correlation function of stationary random process always converge?

The auto-correlation function of the stationary random process only depends on the time difference $\tau$. http://web.ntpu.edu.tw/~yshan/chapter6_han.pdf 64th slide of this lecture note mentions ...
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1answer
51 views

Null autocorrelation function and stationary

I can show that a process $X(t)$ is Wide Sense stationary (WSS) by showing that $E[X(t)]$ is constant and that its autocorrelation function is in function of $\tau=t_1-t_2$, that is, $R_X(t+\tau,t)=...
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1answer
149 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
163 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
172 views

Autocorrelation question

I am trying to get an understanding of autocorrelation and I am having some issues with trying to understand the process. I have a Bernoulli process called $X[t]$. In this process, $P(X[t] = 1) = p$ ...
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1answer
2k views

What is the unit of autocorrelation function?

In general, for autocorrelation of the deterministic signals,from the formula what is the unit of it.
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1answer
651 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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3answers
1k views

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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1answer
137 views

How to derive a rate (e.g. water dripping) from an audio file

I want to learn how to go about analyzing some audio files I have acquired. Let's say the files contain some sort of repeating sound (e.g., water dripping), and I want to derive the pattern of the ...
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1answer
456 views

How to choose a phase for the deconvolution of an autocorrelation?

Say I have a function, $C=C\left(x\right)$, whose fourier transform is denoted by $c=c\left(k\right)$, i.e. $C\left(x\right)=\sum_{k=-\infty}^{\infty}c\left(k\right)\chi\left(x\right)$, where $\chi\...
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197 views

What happens to signal, if we offset periodic auto-correlation?

suppose $x_n$ is an $N$-point sequence with periodic auto-correlation $$ c_n=\sum_m x_m x_{(n+m) mod N} $$ How to find $N$-point sequence $y_n$ with periodic auto-correlation $d_n = c_n - A$, where $...
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1answer
572 views

Autocorrelation of sinc function

I'm having trouble on computing the autocorrelation of the sinc function I want to compute $$R_{hh}(\tau)=\int_{-\infty}^{\infty}\operatorname{sinc}(t) \ \operatorname{sinc}(t-\tau) \ \mathrm{d}t$$ ...
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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
363 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
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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2answers
942 views

Getting a more accurate frequency read from autocorrelation and peak-detection algorithm

For a project I am attempting to create an automatic tuner for a guitar, which reads the audio from the guitar jack, determines the frequency and adjusts the string by a motor. Using http://www....
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3answers
719 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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1answer
467 views

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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1answer
147 views

Measure of harmonicity in a time-series

I'm analyzing speech signal for identifying voiced and unvoiced regions. Voiced regions are supposed to have a "pitch", which can be estimated using auto-correlation function (ACF). Basically, one ...
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1answer
811 views

How to calculate auto-correlation of a bpsk modulated signal or how to calculate expectation value of complex exponential function

How to calculate auto-correlation of a bpsk modulated signal, or how to calculate expectation value of complex exponential function manually not by using matlab or any other software? For example, if ...
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1answer
33 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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1answer
58 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
50 views

Why autocorrelation can be more efficiently calculated using the fft

Can anyone explain why autocorrelation can be more efficiently calculated using the fft ?
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73 views

Mathematical description of the ACF using fft2

I computed the acf of an image with the following code: ...
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1answer
46 views

Difference between autocorrelations

M. H. Hayes calls in his book "Statistical digital signal processing" autocorrelation sequences $r[k]$. For optimal filters the desired autocorrelation has the index d -> $r_d[k]$. However, often ...
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1answer
111 views

What exactly does compression say about correlation of data?

I've been using the following formula on various empirical data $d$, to obtain a correlation factor $c_f$:- $$ c_f = { |C(d_s)| \over |C(d)|} $$ where $C$ is a compression function like bz2 or zip, ...
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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
421 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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217 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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429 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 ...
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1answer
263 views

Should I observe a signal multiple times for MUSIC algorithm?

In a paper Multiple emitter location and signal parameter estimation, the well-known MUSIC algorithm starts by calculating covariance (autocorrelation, whatever) matrix with: where overlines stand ...
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1answer
516 views

Finding the deterministic autocorrelation function (ACF) from its power spectrum

The power spectrum of a stationary discrete-time random signal is $$\Phi_{xx}(e^{j\omega})=\begin{cases} 1 & |\omega|<\pi/2 \\ 0 & \pi/2 <|\omega| \le\pi \end{cases} $$ (a) ...
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1answer
188 views

Auto correlation definition

My question has to do with the definition of auto correlation/cross-correlation for random processes. Oppenheim/Schafer (Discrete time Signal Processing, Pg. 815 (Appendix A.2),2nd ed.) define auto ...
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1answer
689 views

Division by zero in Levinson–Durbin recursion?

I am doing a LPC analysis of a speech signal using the autocorrelation method. To calculate the LPCs I am using the Levinson–Durbin recursion. In my literature the error is initialized with the first ...
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1answer
260 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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1answer
2k views

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-...