11/18/2021

EEE 3105: Signals and Linear Systems

2.**Correlation
Correlation is a measure of similarity between two signals. The
general formula for correlation is

R( )   x( ) y(t  )dt (2. * *)
There are two types of correlation:
(a) Auto correlation
(b) Cross correlation: (i) Linear cross correlation and
(ii) Circular cross correlation

2.** 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().
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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. * *)

   x(t ) x(t  ) dt [  ve shift] (2. * *)
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. * *) where * denotes the
 complex conjugate.
  x(t   ) x  (t ) dt [  ve shift] (2. * *)

Similarly the autocorrelation of the discrete time signal x[n] is expressed as


Rxx [k ]   x[n]x[n  k ] (2. * *)
k 

If the signal is complex then auto correlation function is given by


Rxx [k ]   x[n]x  [n  k ] (2. * *)
k  3

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

shown in Figure below:

Rxx = {-1, 0, 6, 0, -1} 4

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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. 5

Tabular Method of Auto Alternative Solution: Auto-

Correlation: Auto-correlate the correlate the signal x[n] = {-1,
signal x[n] = {-1, 2, 1} using 2, 1} using Tabular method by
Tabular method (normal), not inverting 2nd signal.
inverting any signal. Here, x[-n] = {1, 2, -1}

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

*This is similar to Convolution
method.
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