Autocorrelation matrix

From Wikipedia, the free encyclopedia
Jump to navigation Jump to search

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 a Hermitian matrix and a Toeplitz matrix. If is wide-sense stationary then its autocorrelation matrix will be positive 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[edit]