Correlation Analysis

Correlation analysis applies only to stationary stochastic processes (§D.1.5).

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Subsections

• Cross-Correlation
• Cross-Power Spectral Density
• Autocorrelation
• Sample Autocorrelation
• Power Spectral Density
• Sample Power Spectral Density

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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.