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

Oct 2011 1
Correlation of Signals
Presented by APN Rao, Dept ECE, GRIET, Hyderabad. Oct 2011 2
Correlation of Signals: Concept
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.
Correlation is the measure of similarity between two signal
waveforms.
Presented by APN Rao, Dept ECE, GRIET, Hyderabad. Oct 2011 3
Convolution is identical to correlation, except that one of the signals is time-
reversed at the start of convolution. If one of the signals is even,
convolution and correlation give identical result.
Relation between Correlation and Convolution
12 1 2 11
( ) ( ) ( ) | ; ( ) ( ) ( ) |
t t
R f t f t R f t f t
t t
t t
= =
= - = -
12 1 2 1 2
1 2 12
(between different signals):
;
is the or parameter.
f (t) and f (t) are said to be i
Cross-correlation
R ( ) ( ) (
f
) ( ) ( )
Autoco
R ( ) 0
la

rre

f t f t dt
search scanning
uncorr
f
el
t
ated
f t dt t
t
t
t t
t


= +

=
=
} }
11
tion
R (
(between a signal and itself):
) ( ) ( ) ) )

( ( f t f t dt f t f t dt t t t


= = +
} }
Correlation of Energy Signals
Presented by APN Rao, Dept ECE, GRIET, Hyderabad. Oct 2011 4
Properties of Correlation for Energy Signals
12 21
11 11
11 11
( ) ( )
( ) ( )
(0) signal energy
(0) ( ) 0
ff f
R R
R R
R E
R R
t t
t t
t t
=
=
=
> =
11 22 12
12 1 2
2
(0) (0) 2 ( )
( ) ( ) ( )
( ) ( ) 2 ( )
(ACF and Energy Spectral Density form FT pair)
F
F
ff f
R R R
R F F
R F S
t t
t e e
t e t e
+ >

=
Irreversibility of Autocorrelation
f(t) F()
R
ff
()
|F()|
2
F
F
(autocorrelation)
|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 5
Correlation of Power Signals
2 2
12
1 2 1 2
2 2
2
12
1 2 1
2
Cross-correlation
1 1
R ( ) lim ( ) ( ) lim ( ) ( )
1
(between different signals):
for periodic signals with p
1
R
er
( ) ( ) ( )
iod of their product ,
(
=
T T
T T
T T
T
T
f t f t dt f t f t dt
T T
f t f t dt f
T
T T
t t t
t t

= = +
= =
} }
}
2
2
2
12
2 2
2 2
) ( )
R ( )
Autocorrelati
would also be periodic with the period of their product function
(between a signal and itsel on
1 1
R (
f):
f
) lim ( ) (
or a
) lim ( ) ( )
T
T
T T
ff
T T
T T
t f t dt
f t f t dt f t f t dt
T T
t
t
t t t

+
= = +
}
} }
2 2
2 2
1 1
R ( ) ( ) ( ) ( )
periodic signal with period ,
would also be periodic with the period o
(
f ( )
)
R ( )
T T
ff
T T
ff
f t f t dt f t f t dt
T T
T
f t
t t t
t

= = +
} }
Presented by APN Rao, Dept ECE, GRIET, Hyderabad. Oct 2011 6
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
Autocorrelator
h(t) = f(-t)
H() = F(-)
f(t) = s(t)+n(t) ( ) ( ) ( ) ( ) ( ) ff ss nn sn ns R R R R R t t t t t = + + +
s(t) is a periodic signal, and noise n(t) is assumed to have zero mean
Both Cross-correlation terms equal zero. Autocorrelation of noise decreases to zero
mean with increasing . Therefore for large . 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 has fourier transform as power spectral density of the signal s(t).
( ) ( ) ff ss R R t t ( ) ss R t
( ) ss R t
Presented by APN Rao, Dept ECE, GRIET, Hyderabad. Oct 2011 7
Detection of Periodic Signals in Noise by Cross-Correlation
Cross-correlator
h(t) = c(-t)
H() = C(-)
f(t) = s(t)+n(t) ( ) ( ) ( )
= ( )
fc sc nc
sc
R R R
R
t t t
t t
= +

( ) sc R t c(t) is chosen to have same periodicity of s(t). Then 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 8
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 - < <
w(t): with average power
of N
0
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

0
-
0
0
2 2 2
/ 2
1
N
R C e +
0
/ 2 N
0
/ 2 N
0

2
RC
N
e
RC
t
t
(
(

(

( )
0 0 0
N Sa e et
( )
0
N t o t
0
0
0
0
0
0
P
ww
()
( ) ww R t
Note: In case psds are specified on per hertz basis, corresponding ACFs are to
be divided by 2.