Correlation of Discrete-Time Signals

Transmitted Signal, x(n)

Reflected Signal, y(n) = x(n-D) + w(n)

0

T

rxy(l) g rxy .Cross-Correlation ‡ Cross-correlation of x(n) and y(n) is a sequence.

l ! rxy .

l ! § x .

n y .

n  l § x .

n  l y .

s1. s1. s2. K n !g n !g ‡ Reversinggthe order. ryx(l) ryx . s2. K l ! 0.n g l ! 0.

l ! ryx .

l ! § y .

n x .

n  l § y .

n  l x .

s1.n g l ! 0.K n !g n !g ‡ => rxy . s2.K l ! 0. s1. s2.

l ! ryx .

l .

Similarity to Convolution ‡ No folding (time-reversal) rxy .

l ! x .

l  y .

l ryx .

l ! y .

l  x .

l ‡ In Matlab: ± Conv(x.fliplr(y)) .

Auto-Correlation ‡ Correlation of a signal with itself rxx .

l ! g § x .

n x .

n  l ! r .

g. s2. e. zero or one ‡ Even function .. s1.K ‡ Used to differentiate the presence of a like-signal.l xx n !g l ! 0.

Properties ‡ Two sequences. with finite energy z . x(n) and y(n).

n ! ax .

n  by .

n  l ‡ Find energy of z(n) Ez ! n !g § «ax .

n  by .

n  l » ­ ½ !a g g 2 2 § x .

n  b § y .

n  l  2ab § x .

n y .

n  l 2 2 2 n !g n !g n !g g g ! a 2 rxx .

0  b 2 ryy .

0  2abrxy .

l u 0 Ex Ey .

z ! a 2 rxx .

0  b 2 ryy .

0  2abrxy .

l u 0 2 (assume b { 0) ¨a¸ ¨a¸ ! © ¹ rxx .

0  2 © ¹ rxy .

l  ryy .

0 u 0 ªbº ªbº Quadratric in (a/b) and positive. discriminant is non-negative: For crosscorrelation case: rxy .

l e rxx .

0 ryy .

0 ! Ex E y For autocorrelation case: rxx .

l e rxx .

1]: V xx .0 ! x Maximum value occurs with zero lag (when signals are perfectly matched) Often normalized to range [-1.

l ! rxy .

l rxx .

0 ryy .

0 V xx .

l ! rxx .

l rxx .

0 .

x .

n ! a nu .

n . 0 a 1 rxx .

l ! § x .

n x .

n  l n !g g ! §a a n n !l g n l !a l a2n § n !l g ! 1 l a 1  a2 lu0 V xx .

l ! rxx .

l rxx .

0 !a l g l g .

Periodic Sequences ‡ Power signals crosscorrelation: 1 r .

l ! lim § x .

n y .

n  l 2M  1 ‡ Define auto and crosscorrelations over one period of the signals ‡ If x(n) and y(n) are periodic signals with period N: 1 r .

l ! § x .

n y .

n  l N M xy M pg n ! M N 1 n !0 xy ‡ Correlations are also periodic with period N .

.

y(n)=x(n)+w(n) .

output of LTI system y .LTI Systems ‡ Convolution.

n ! h .

n  x .

n ! § h .

k x .

n  k g k !g ‡ Crosscorrelation between the output and input signal: r .

l ! y .

l  x .

l ! .

h .

l  x .

l  x .

l yx ! h .

l  .

x .

l  x .

l ! h .

l  rxx .

input to output is: rxy .l ‡ Similarly.

l ! h .

l  rxx .

l .

‡ Autocorrelation of output: ryy .

l ! y .

l  y .

l ! .

h .

l  x .

l  .

h .

l  x .

l ! .

h .

l  h .

l  .

x .

l  x .

l ! rhh .

l  rxx .

l ryy .

0 ! rhh .

0  rxx .

0 ! § r .

k r .

k hh xx k !g g .

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