What is Autocorrelation: Definition and 63 Discussions
Autocorrelation, also known as serial correlation, is the correlation of a signal with a delayed copy of itself as a function of delay. Informally, it is the similarity between observations as a function of the time lag between them. The analysis of autocorrelation is a mathematical tool for finding repeating patterns, such as the presence of a periodic signal obscured by noise, or identifying the missing fundamental frequency in a signal implied by its harmonic frequencies. It is often used in signal processing for analyzing functions or series of values, such as time domain signals.
Different fields of study define autocorrelation differently, and not all of these definitions are equivalent. In some fields, the term is used interchangeably with autocovariance.
Unit root processes, trend-stationary processes, autoregressive processes, and moving average processes are specific forms of processes with autocorrelation.
Homework Statement
x(t) is a random signal taking the values 1 and -1 with equal probability in each time interval Tn of length T, i.e.
Tn : (n-1)T \leq t \leqn T
Find the autocorrelation function Rx(\tau)
Homework Equations
From a quick glance at our notes:
Rx(t1, t2) =...
I have to find the autocorrelation of a random variable. When I compute the theoretical autocorrelation I get the result where it is [1 -2 3 -2 1] centered around zero, and zero everywhere else.
I tried estimating the autocorrelation of the random variable using
ryy_est = xcorr(Y,20...
Does anyone here have a good explanation of why the Fourier transform of the autocorrelation function equals the ESD of the the original signal. It kind of make sense intutively because functions that have a autocorrelation that drops of quickly are high frenquency and the Fourier transform of...
I have Metropolis-Markov algorithm and I need to determine integrated autocorrelation time. In order to do that i have to find autocorrelation and I don't quite get what to do.
For example, after equilibration I did N sweeps, took measurements at each one and I obtained N results O_i,i=1...N...
I'm stuck with an elementary thing, it must be something obvious but I can't see what's wrong.
Here it goes. I was writing up some elementary course material for an instrumentation course, and wanted to quickly introduce "white noise".
Now, the usual definition of white noise is something...
I am given the autocorrelation of a wss rp which modulates a carrier cos( w0 t + \Theta ). I am to find the autocorrelation of the output Y(t).
I have found the autocorrelation of the carrier and I'm not sure what to do next.
If it were possible to get the rp from its autocorrelation, it...
I am reading a research paper about "narrow" autocorrelation and
at the beginning there is an expression I don't unterstand
http://www.wellesley.edu/Physics/brown/pubs/acv85_P1595-P1601.pdf"
Does someone know what is meant with the word cross term?
Hi,
Is there like some widely accepted threshold for autocorrelation time of a time series for it to be considered "uncorrelated"?
I used MATLAB to generate approx. 1000 gaussian random numbers and found their autocorrelation time to be approx. 1.07... is this small enough for it to be called...
I would like to know how to find the autocorrelation function.
If there are any links for free e-books that can I downloaded to study the autocorrelation function and its properties in details.
Thanks!
hi,
I would like to know why dirak-delta function is used in autocorrelation in a way that the following is true:
<å(t)å(t')>=2Dä(t-t')
where å(t)is Gaussian white noise and D is the strength of the noise.
Dora
Well, can anyone tell me about the significance of autocorrealtion time in statistcal analysis of some time series data especially in case of monte carlo simulation output??