1/8/2013

Ronald M. Pascual, Ph.D.

Quantifies the degree of similarity between one set

of data (or sequence) and another
May be computed through sum of products

Theory: Given two independent and random data

sequences, the sum of products will tend towards a
vanishingly small random number as the number of pairs
of points is increased.

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To make the result independent of the number of points

taken, normalization may be added as follows:

where: N = number of pairs of points taken

Example: Compute the correlation r12

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Cross-correlation (correlation of two

different sequences)

Pattern recognition
RADAR / SONAR signal processing (delay
estimation)

Auto-correlation (correlation of a sequence

to itself)

Test for randomness of a signal

Detection/Recovery of periodic signals buried in
noise
Pitch estimation / correction in music recordings

Out-of-phase 100%
correlated waveforms
with zero correlation at
lag zero.

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The effect of the endeffect on the crosscorrelation r12(j)

r12 ( j )true r12 ( j )

j
r12 ( j )true

r12 ( j )

r12 (0)
N
j
r12 (0)
N

Pairs of waveforms of different magnitudes but equal

cross-correlations

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12 ( j )

r12 ( j )
1
N

N 1

2
2

x ( n)
n 0

12

N 1
2
1

x ( n)
n 0

Example: Compute the correlation coefficients

12(j) and 34(j)

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Cross-correlation of a signal with itself.

r11 ( j )

1
N

N 1

x1 (n) x1 (n

j)

n 0

where: j = lag
N= number of sampling points

Symmetry Autocorrelation is an even

function.

r11 ( j )
r11 ( j )

1
N

N 1

x1 (n) x1 (n

j)

n 0

1
N

N 1

x1 (n

j ) x1 (n)

n 0

r11 ( j )

r11 ( j )

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The autocorrelation function of a periodic

waveform, with period T, is itself a periodic
waveform of period T.

For a periodic waveform, x(t), of period T,

x(t )

x(t nT )

1
r11 ( ) lim
T
T

T /2

1
T

T /2

r11 ( )

lim

r11 ( )

x(t ) x(t

)dt

T /2

x(t ) x(t

nT )dt

T /2

r11 (

nT )

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The autocorrelation of a random signal will

have its peak value at zero lag and will reduce
to random fluctuation of small magnitude
about zero for lags greater than about unity.

(constitutes a test for random waveforms)

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Energy Spectral Density

F[r11 ( )] GE ( f )
where GE(f) is the energy spectral density of a waveform.
It can be also shown that

r11 (0)

where E is the total energy of the waveform.

Let v(n) = s(n) + q(n)

= sum of a signal s(n) and noise q(n)
rvv
rvv

1
N

1
N

N 1

[ s (n) q(n)][ s (n

N 1

s ( n) s ( n
n 0

rvv

j ) q(n

j )]

n 0

j)

1
N

N 1

s ( n) q ( n

j)

n 0

1
N

N 1

q ( n) s ( n
n 0

rss ( j ) rsq ( j ) rqs ( j ) rqq ( j )

0 if s(n) and q(n)

are uncorrelated

0 if q(n) is
random

j)

1
N

N 1

q ( n) q ( n

j)

n 0

Autocorrelation of a
noisy signal emphasize
signal properties by
reducing the noise
content.

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Let s(n) = signal of period T

q(n) = random noise
S(n) = s(n) + q(n)
(n-kT) =periodic impulse train of period T
1
N

rs ( j )
rs (0)

N 1

[ s (n) q (n)] [( n kT

j )],

0,1,2,...

n 0

1
[ s(0) q(0) s(T ) q(T ) s(2T ) q(2T ) ... s( N ) q( N )]
N
1
[ Ns(0) q(0) q(T ) q(2T ) ... q( N )]
N

rs (0)

rs (0)

s ( 0)

1
N

N /T

q (kT )

0 as Ninfinity

k 0

Similarly, for other values of (j),

rs ( j )

1
N

N 1

[ s (n) q (n)] [( n

j ) kT )],

0,1,2,...

n 0

results to cancellation of noise while yielding s(n). Thus,

rs ( j )

s(0), s(1), s(2),..., s( N 1),

for j

0,1,2,...

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A signal lost in a noisy waveform may be

estimated by:
1.
Autocorrelating the waveform to find period
of the signal.
2.
Cross-correlating the waveform with a
periodic impulse train of the same period as
the signal.

DSP (by Proakis & Manolakis)

DSP: A Practical Approach (by Jervis and
Ifeachor)
DSP Lecture notes (Prof. Edwin Sybingco,
DLSU)

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