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Correlation of Signals

Presented by APN Rao, Dept ECE, GRIET, Hyderabad. Oct 2011

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Correlation of Signals: Concept

Correlation is the measure of similarity between two signal
waveforms.
Recall that orthogonal signals can not be approximated by each
other. They are
mutually independent and have no
components along each other. We further say that orthogonal
signals are completely dissimilar. Noting that orthogonality
condition is affected by relative time-shift, we define
correlation as a function of relative time-shift between the
signals.

Presented by APN Rao, Dept ECE, GRIET, Hyderabad. Oct 2011

www.jntuworld.com

Correlation of Energy Signals

Cross-correlation (between different signals):
R 12 ( )

f1 (t ) f 2 (t )dt

f1 (t ) f 2 (t )dt ;

is the search or scanning parameter.

f1 (t) and f 2 (t) are said to be uncorrelated if R 12 ( ) 0
Autocorrelation (between a signal and itself):
R 11 ( )

f (t ) f (t )dt

f (t ) f (t )dt

Relation between Correlation and Convolution

R12 ( ) f1 (t ) f 2 (t ) |t ; R11 ( ) f (t ) f (t ) |t
Convolution is identical to correlation, except that one of the signals is timereversed at the start of convolution. If one of the signals is even,
convolution and correlation give identical result.
Presented by APN Rao, Dept ECE, GRIET, Hyderabad. Oct 2011

www.jntuworld.com

Properties of Correlation for Energy Signals

R11 (0) R22 (0) 2 R12 ( )

R12 ( ) R21 ( )
R11 ( ) R11 ( )

R ff (0) signal energy E f

R11 (0) R11 ( ) 0

R12 ( ) F1 ( ) F2 ( )
F

R ff ( ) F ( ) 2 S f ( )
2

(ACF and Energy Spectral Density form FT pair)

Irreversibility of Autocorrelation

f(t)

F()

(autocorrelation)
Rff ()

|F()|2

|F()|2 = F() F*(), does not contain the phase

information of F(). F() and therefore f(t) can not be
uniquely obtained from the autocorrelation function.
An autocorrelation function corresponds to all
waveforms with same magnitude spectrum irrespective
of their phase spectra. Thus, autocorrelation is an
irreversible process.

Qualifications for a function to be an autocorrelation function

The function should 1) be even, 2) be positive at t = 0, 3) have magnitude at t = 0
greater than that everywhere else, and 4) have a real and non-negative spectrum

Presented by APN Rao, Dept ECE, GRIET, Hyderabad. Oct 2011

www.jntuworld.com

Correlation of Power Signals

Cross-correlation (between different signals):
T

1
R 12 ( ) lim
T T

1
f1 (t ) f 2 (t ) dt lim
T T

f1 (t ) f 2 (t ) dt

for periodic signals with period of their product = T ,

T

1
R 12 ( )
T

1
f1 (t ) f 2 (t ) dt
T

f1 (t ) f 2 (t ) dt

R 12 ( ) would also be periodic with the period of their product function

Autocorrelation (between a signal and itself):
T

R ff

1
( ) lim
T T

1
f (t ) f (t )dt lim
T T

f (t ) f (t ) dt

for a periodic signal with period T ,

T

R ff

1
( )
T

1
f (t ) f (t ) dt
T

f (t ) f (t )dt

R ff ( ) would also be periodic with the period of f (t )

Presented by APN Rao, Dept ECE, GRIET, Hyderabad. Oct 2011

www.jntuworld.com

Correlation Properties of Noise

Autocorrelation of noise as approaches mean value of the noise.
Noise is uncorrelated with any periodic signal.

Detection of Periodic Signals in Noise by Autocorrelation

s(t) is a periodic signal, and noise n(t) is assumed to have zero mean

f(t) = s(t)+n(t) Autocorrelator

h(t) = f(-t)
H() = F(-)

R ff ( ) Rss ( ) Rnn ( ) Rsn ( ) Rns ( )

Both Cross-correlation terms equal zero. Autocorrelation of noise decreases to zero

mean with increasing . Therefore R ff ( ) R ss ( ) for large . R ss ( ) is periodic, with a
waveshape different from s(t). Thus presence of the periodic signal s(t) is detected,
without waveform extraction. In practice, requirement of large is a limitation.
However, no a priori knowledge of signal periodicity is necessary.
Output R ss ( ) has fourier transform as power spectral density of the signal s(t).

Presented by APN Rao, Dept ECE, GRIET, Hyderabad. Oct 2011

www.jntuworld.com

Detection of Periodic Signals in Noise by Cross-Correlation

f(t) = s(t)+n(t)

Cross-correlator
h(t) = c(-t)
H() = C(-)

R fc ( ) R sc ( ) R nc ( )
= R sc ( )

c(t) is chosen to have same periodicity of s(t). Then R sc ( ) is also periodic with the
same period. Detection takes place without waveform extraction. Efficient
compared to detection by autocorrelator, as large is not necessary. However,
frequency of the signal is to be known a priori.
If c(t) is chosen to be a unit impulse train of required periodicity, signal detection
results with waveform extraction. This is the case since the effective filter function
C(-) satisfies conditions for distortionless transmission.
C(-) has a gain spectrum of discrete impulses, amounts to discrete frequency
filtering with zero bandwidths located at all harmonics. As practical filtering will
have finite bandwidths, noise power proportional to bandwidth will appear at
output.
Presented by APN Rao, Dept ECE, GRIET, Hyderabad. Oct 2011

www.jntuworld.com

Processing of white noise by filters: Example

White Noise w(t): is an idealized form of noise, defined as a zero mean
random process with uniform power spectral density over entire frequency
range - < <
Pww ()
R ww
w(t): with average power
of N0 watts/rad/sec

Band-limited white noise:

w(t) processed by an ideal
LPF
Lowpass filtered white
noise: w(t) processed by
a low pass RC filter

N 0

N0 / 2
0

N 00 Sa 0

N0 / 2
-0 0

N0 / 2
1 2 R 2C 2

N 0
e
2 RC

RC

Note: In case psds are specified on per hertz basis, corresponding ACFs are to
be divided by 2.
Presented by APN Rao, Dept ECE, GRIET, Hyderabad. Oct 2011