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EEE 3105: Signals and Linear Systems

2.7 Correlation
Correlation is a measure of similarity between two signals. The
general formula for continuous-time and discrete-time
correlations are

R( )   x(t ) y (t  )dt (2.7.1)

R[k ]   x[n]y[n  k ] (2.7.2)
k  

There are two types of correlation:

(a) Auto correlation
(b) Cross correlation: (i) Linear cross correlation and
(ii) Circular cross correlation

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Difference between Convolution and Correlation Function

General formulae for Convolution:

 Convolution needs:
x(t )   x( )h(t  )d
• Time reverse

y[n]   x[k ]h[n  k ] • Time shifting
k  
• Multiplications

General formulae for Correlation:

 Correlation needs:
R( )   x(t ) y (t  )dt

• Time shifting
R[k ]   x[n]x[n  k ] • Multiplications
k  

Convolution = Folding + Correlation

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2.7.1 Auto Correlation Function

It is defined as correlation of a signal with itself. Auto correlation function is a
measure of similarity between a signal and its time delayed version. It is
represented with R().
Consider a signal x(t). The auto correlation function of x(t) with its time
delayed version is given by

Rxx ( )    x(t ) x(t  )dt [  ve shift] (2.7.3)

   x(t   ) x(t )dt [  ve shift] (2.7.4)
where,  = searching or scanning or delay parameter.
If the signal is complex then auto correlation function is given by

Rxx ( )    x(t ) x  (t  )dt [ ve shift] (2.7.5) where * denotes the
 complex conjugate.
   x(t   ) x  (t ) dt [ ve shift] (2.7.6)
Similarly the autocorrelation of the discrete time signal x[n] is expressed as

Rxx [k ]   x[n]x[n  k ] (2.7.7)
k  
If the signal is complex then auto correlation function is given by

Rxx [k ]   x[n]x  [n  k ] (2.7.8)
k   4

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Expressions of Autocorrelation for Energy and Power signals

Properties of Auto-correlation Function of Energy (/Power) Signal

• Auto correlation exhibits conjugate symmetry i.e. Rxx(τ) = Rxx*(- τ)

Proof : Rxx ( )   x(t ) x  (t  )dt

 Rxx * ( )   x  (t ) x(t  )dt

 Rxx * ( )   x  (t ) x(t  )dt
 Rxx * ( )  Rxx ( )
• Auto correlation function of energy signal at origin i.e. at τ = 0 is the total

Rxx (0)  E   x(t ) dt
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energy of that signal, which is given as:

Proof : Rxx ( )   x(t ) x  (t  )dt

 Rxx (0)   x  (t ) x(t )dt [ for τ = 0 ]

 Rxx (0)   x(t ) dt  E x
2

1 T
[ For power  Rxx (0)  lim x(t ) dt  Px ]
2

T  2T
T

• Auto correlation function  1/τ

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• Auto correlation function is maximum at τ = 0 i.e. |Rxx(τ)| ≤ Rxx(0)

Proof : Consider x(t ) and x(t   ) Integratin g both sides
[ x(t )  x(t   )]  0
2   
  x 2 (t )dt   x 2 (t   )dt    2 x(t ) x(t   )dt
 x 2 (t )  x 2 (t   )  2 x(t ) x(t   )  0   x 2 (t )dt   x 2 (t )dt  2 R ( ) [  0 in left - hand side]
  xx
 x 2 (t )  x 2 (t   )  2 x(t ) x(t   )  
  x(t ) dt   x(t ) dt   2 Rxx ( )
2 2

 E  E  2 Rxx ( )
 2 E  2 Rxx ( )
 E  Rxx ( )
 Rxx (0)  Rxx ( )

• Auto correlation function and energy spectral densities are Fourier transform
pairs. i.e. F.T[R( )]  X ( )
X ( )   R( )e j d

• R(τ ) = x(τ ) ∗ x(−τ )

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Example: Autocorrelation of the signal x[n] = {-1, 2, 1} can be computed as

shown in Figure below:

Rxx = {-1, 0, 6, 0, -1} 8

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Here, the first set of samples (those in the first row of every table)
refers to the given signal. The second set (in the second row of
every table) refers to the samples of its time-shifted version. Next,
the samples shown in red color in the third row are obtained by
multiplying the corresponding samples of the first two rows.
Finally, we add the samples in the last row of the sample
(contained within the curly brackets) so as to obtain the samples of
the auto-correlated signal.
Thus, here we find that the samples of the autocorrelated
signal Rxx are {-1, 0, 6, 0, -1}, where 6 is the zeroth sample.
The example presented shows that the sample of the
autocorrelated signal will be at its maximum value when the
overlapping signal best matches the given signal. In this case, it
happens when time-shift is zero. 9

Tabular Method of Auto Correlation: Auto-correlate the signal

x[n] = {-1, 2, 1} using Tabular method.
The tabular convolution method involve with time reversal, whereas no time reversal is
needed in correlation. But if we time reverse the 2nd sequence, then it form the method
of convolution.
x[n] = { -1, 2, 1} and x[-n] = {1, 2, -1}

• Total number of terms in cross correlation are {(3) + (3) -1} = 5.

• Range = -2 to 2
Interchanging Column and Row:

Rxx =x[n]*x[-n]= {-1, 0, 6, 0, -1} Rxx =x[-n]*x[n]= {-1, 0, 6, 0, -1}

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Tabular Method of Auto Correlation: Auto-correlate the signal

x[n] = {-1, 2, 1} using Tabular method.
The tabular convolution method involve with time reversal, whereas no time reversal is needed
in correlation. But if we time reverse the 2nd sequence, then it form the method of convolution.

Location 0 1 2 • Total number of terms in cross correlation

Value -1 2 1 are {(3) + (3) -1} = 5.
• Sum of indexes at zero marked = 1 + 1 = 2
Location 2 1 0
Value
• Range = -2 to 2
-1 2 1

Here, x[-n] = {1, 2, -1}

Interchanging Column and Row:

Rxx =x[n]*x[-n]= {-1, 0, 6, 0, -1} Rxx =x[-n]*x[n]= {-1, 0, 6, 0, -1}

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Example: Find the autocorrelation function and power of the sinusoidal

signal x(t) = A sin(2fot).

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