Howtosignalprocessing
What is autocorrelation matrix?
The autocorrelation matrix is a Hermitian matrix for complex random vectors and a symmetric matrix for real random vectors. The autocorrelation matrix is a positive semidefinite matrix, i.e. for a real random vector, and respectively. in case of a complex random vector.
What is correlation and autocorrelation in DSP?
Crosscorrelation is a measure of similarity between two signals, while autocorrelation is a measure of how similar a signal is to itself. Autocorrelation for stochastic signals and the crosscorrelation between input and output signals to help identify an unknown system have been discussed earlier.
