Autocorrelation

Autocorrelation

Autocorrelation computes the autocorrelation function

of a signal. The autocorrelation function gives information about the self-similarity of a signal occurring at certain lags.

Internally, a frequency-domain algorithm based on a Fast Fourier Transform is used for calculating the discrete autocorrelation.

Warning: Note that y(0) is suppressed in order to avoid its large values dominating the result.

The autocorrelation function of a white noise signal will yield a large peak at

=0 and nearly 0 elsewhere indicating (nearly) no self-similarity for

y = AutoCorr(x); signal x,y;

Student, Professional

Oppenheim/Schafer [3], Conover [11], Graybill [12], Hollander/Wolfe [13]