Correlation of discrete

time signals
Aditya Pandey 2012B2A3779G

The correlation between two energy signals x(n)

and y(n) is defined as:

rxy(l) =

rxy(l) =

l = -2,-1,0,1,2..

l = -2,-1,0,1,2..

is called the time shift (lag)

In the previous equations, the role of x and y can

be easily interchanged to get:
!

ryx(l) =

l = -2,-1,0,1,2..

ryx(l) =

l = -2,-1,0,1,2..

rxy(l) = ryx(-l)!

This means that rxy is the folded version of ryx

with the folding done with respect to l = 0.

Also both of rxy(l) & ryx(-l) contain the same

information as far as the similarity between x(t)
and y(t) is concerned.

Similarity between
convolution and correlation

Diagrammatic view of the convolution between x(t) and h(t)

Convolution is defined as :
!

x(t) X y(t) =
!

The operation of correlation is similar to convolution in that

it also involves two signals.
!

The objective is to find the degree to which the two signals

are similar.
!

It can also be used to find hidden periodicities in a signal

corrupted by additional noise.

The only difference between correlation and

convolution is the inversion of one of the input
signals.

In other words, ryx = x(t) X y(-t)

Therefore if we have with us a program or an

algorithm to evaluate the convolution, it can also
be used to find the correlation by providing one
of the inverted signals as the input.

Autocorrelation

The special case of correlation is when both the

input sequences are one and the same in which
case we have what we call as autocorrelation.
rxx (l) =

l = -2,-1,0,1,2..

rxx (l) =

l = -2,-1,0,1,2..

Convolution, cross correlation

and autocorrelation

Autocorrelation and Energy

The energy of a discrete time signal is defined

as :

Ex =

Therefore, Ex = rxx (0)

Maximum Value of Correlation

The maximum value of the cross correlation

between two signals is :

| ryx(l) | <= ( ExEy )1/2

The maximum value of the auto correlation

between two signals is:

| rxx(l) | <= ( ExEx )1/2

Normalisation of correlation

If any one or both of the signals involved in correlation

are scaled then the shape of the final correlation does
not change but only the mag is scaled.

We therefore define the normalised correlation as:

1.
2.
3.

xx

= rxx(l) / rxx(0)

1/2
=
r
(l)
/
(r
(0)
*
r
(0))
xy
yy
xx
xy

-1 <

<1

Correlation of power signals

Correlation of power signals is defined as :

!
!

If x(n) and y(n) are periodic sequences with period N,

then the above avg is equal to the avg over a single time
period i.e.

For the case of periodic signals, their correlation is

also periodic with the same time period.

Therefore it may be used to identify periodicities in

a signal corrupted by random interferences.

y(n) = x(n) + w(n)

x(n) - periodic signal
w(n) - noise

Correlation and Radar signal

detection

Let x(n) be the transmitted signal and let y(n) be

the signal received by the radar.

y(n) = k.x(n-D) + w(n)

-

k - attenuation factor accounting for the losses

involved in transmission

D - round trip delay

w(n)- additional noise picked up during

transmission

If the target is absent then y(n) would consist of

noise alone.

The objective is to compare y(n) and x(n) to

determine if the target is present and if so to find
the time deLay D.

Using this time delay, the distance to the object

can be calculated.

Correlation in digital signals

Consider a digital signal and let us assume that

to transmit a 0 we send x0(n) and to transmit a 1
we send x1(n).

The signal received by the transmitter can be

represented by y(n) = x(n) + w(n)

We correlate y(n) with both x0(n) and x1(n) to

determine which one it resembles more closely
and hence determine the original signal.

Input Output Correlation

Sequences

Consider a LTI system with x(n) as the input and h(n)

as the impulse response.

The output y(n) of the system is given by x(n) X h(n).

x(n)

h(n)

y(n) = x(n) X h(n)

The correlation between the output signal and the input signal
would be:

ryx = y(l) X x(-l) ; which further reduces to :

ryx = h(l) X rxx

rxx(n)

h(n)

ryx (n)

Thank You