Correlation and Power Spectrum

By Duraisamy Sundararajan

Abstract:

In the signals and systems course and in the first course in digital signal processing, a signal is, most often, characterized by its amplitude spectrum in the frequency-domain and its amplitude profile in the time-domain. So much a student gets used to this type of characterization, that the student finds it difficult to appreciate, when encountered in the ensuing statistical signal processing course, the fact that a signal can also be characterized by its autocorrelation function in the time-domain and the corresponding power spectrum in the frequency-domain and that the amplitude characterization is not available. In this article, the characterization of a signal by its autocorrelation function in the time-domain and the corresponding power spectrum in the frequency-domain is described. Cross-correlation of two signals is also presented.

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