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The '''autocorrelation matrix''' is used in various digital signal processing algorithms. It consists of elements of the discrete [[Autocorrelation#Signal processing|autocorrelation]] function, <math>R_{xx}(j)</math> arranged in the following manner:
 
:<math>\mathbf{R}_x = E[\mathbf{xx}^H] = \begin{bmatrix}
R_{xx}(0) & R^*_{xx}(1) & R^*_{xx}(2) & \cdots & R^*_{xx}(N-1) \\
R_{xx}(1) & R_{xx}(0) & R^*_{xx}(1) & \cdots & R^*_{xx}(N-2) \\
R_{xx}(2) & R_{xx}(1) & R_{xx}(0) & \cdots & R^*_{xx}(N-3) \\
\vdots    & \vdots    & \vdots    & \ddots & \vdots \\
R_{xx}(N-1) & R_{xx}(N-2) & R_{xx}(N-3) & \cdots & R_{xx}(0) \\
\end{bmatrix}
</math>
This is clearly a [[Hermitian matrix]] and a [[Toeplitz matrix]]. If <math>\mathbf{x}</math> is [[Stationary_process#Weak_or_wide-sense_stationarity|wide-sense stationary]] then its autocorrelation matrix will be [[Positive-definite_matrix#Negative-definite.2C_semidefinite_and_indefinite_matrices|nonnegative definite]].
 
The ''autocovariance matrix'' is related to the autocorrelation matrix as follows:
 
:<math>\begin{align}
\mathbf{C}_x &= E[(\mathbf{x} - \mathbf{m}_x)(\mathbf{x} - \mathbf{m}_x)^H]\\
            &= \mathbf{R}_x - \mathbf{m}_x\mathbf{m}_x^H\\
           
\end{align}
</math>
 
Where <math>\mathbf{m}_x</math> is a vector giving the mean of signal <math>\mathbf{x}</math> at each index of time.
 
== References ==
* Hayes, Monson H., ''Statistical Digital Signal Processing and Modeling'', John Wiley & Sons, Inc., 1996. ISBN 0-471-59431-8.
 
[[Category:Matrices]]
[[Category:Signal processing]]

Latest revision as of 18:43, 15 January 2014

The autocorrelation matrix is used in various digital signal processing algorithms. It consists of elements of the discrete autocorrelation function, arranged in the following manner:

This is clearly a Hermitian matrix and a Toeplitz matrix. If is wide-sense stationary then its autocorrelation matrix will be nonnegative definite.

The autocovariance matrix is related to the autocorrelation matrix as follows:

Where is a vector giving the mean of signal at each index of time.

References

  • Hayes, Monson H., Statistical Digital Signal Processing and Modeling, John Wiley & Sons, Inc., 1996. ISBN 0-471-59431-8.