Correlation Analysis

The correlation operator (defined in §7.2.5) plays a major role in statistical signal processing. For a proper development, see, e.g., [25,31,62]. This section introduces only some of the most basic elements of statistical signal processing in a simplified manner, with emphasis on illustrating applications of the DFT.

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Subsections

• Cross-Correlation
• Unbiased Cross-Correlation
• Autocorrelation
• Matched Filtering
• FIR System Identification

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written by Julius Orion Smith III
Julius Smith's background is in electrical engineering (BS Rice 1975, PhD Stanford 1983). He is presently Professor of Music and Associate Professor (by courtesy) of Electrical Engineering at Stanford's Center for Computer Research in Music and Acoustics (CCRMA), teaching courses and pursuing research related to signal processing applied to music and audio systems. See http://ccrma.stanford.edu/~jos/ for details.