Hi I would like to compute the autocorrelation matrix from a vector with Matlab. I don't have the statistical signal processing toolbox (I can only use "cov" and "corrcoef" functions, or build my own function). Could someone explain how I can do? Thanks a lot. Thom

# Autocorrelation matrix with matlab

Started by ●June 29, 2006

Reply by ●June 29, 20062006-06-29

Your input signal vector being X(k), k=0...n, isn't it simply X*X' ? Regards stereo thom wrote:> Hi > > I would like to compute the autocorrelation matrix from a vector with > Matlab. I don't have the statistical signal processing toolbox (I can only > use "cov" and "corrcoef" functions, or build my own function). Could > someone explain how I can do? > > Thanks a lot. > > Thom

Reply by ●June 29, 20062006-06-29

Thank you I've written a Matlab code which seems to work.>Your input signal vector being X(k), k=0...n, isn't it simply X*X' ? > >Regards > >stereo > > >thom wrote: >> Hi >> >> I would like to compute the autocorrelation matrix from a vector with >> Matlab. I don't have the statistical signal processing toolbox (I canonly>> use "cov" and "corrcoef" functions, or build my own function). Could >> someone explain how I can do? >> >> Thanks a lot. >> >> Thom > >

Reply by ●June 29, 20062006-06-29

Hi, You can use the CORRMTX function in the signal processing toolbox. -Ikaro thom wrote:> Hi > > I would like to compute the autocorrelation matrix from a vector with > Matlab. I don't have the statistical signal processing toolbox (I can only > use "cov" and "corrcoef" functions, or build my own function). Could > someone explain how I can do? > > Thanks a lot. > > Thom

Reply by ●July 1, 20062006-07-01

>thom wrote: >> Hi >> >> I would like to compute the autocorrelation matrix from a vector with >> Matlab. I don't have the statistical signal processing toolbox (I canonly>> use "cov" and "corrcoef" functions, or build my own function). Could >> someone explain how I can do? >> >> Thanks a lot. >> >> Thom > >what about >> help xcorr XCORR Cross-correlation function estimates. C = XCORR(A,B), where A and B are length M vectors (M>1), returns the length 2*M-1 cross-correlation sequence C. If A and B are of different length, the shortest one is zero-padded. C will be a row vector if A is a row vector, and a column vector if A is a column vector. XCORR produces an estimate of the correlation between two random (jointly stationary) sequences: C(m) = E[A(n+m)*conj(B(n))] = E[A(n)*conj(B(n-m))] It is also the deterministic correlation between two deterministic signals. XCORR(A), when A is a vector, is the auto-correlation sequence. XCORR(A), when A is an M-by-N matrix, is a large matrix with 2*M-1 rows whose N^2 columns contain the cross-correlation sequences for all combinations of the columns of A. The zeroth lag of the output correlation is in the middle of the sequence, at element or row M.