Hi, I have a MATLAB related question. I have a periodic signal loaded into Matlab and i am trying to estimate the Autocovariance of it by using the xcov command. This gives me an output that i store as a variable. I'd just like to know if anyone knows why: a) the xcov matrix is twice as long as the original signal and; b) how can i, from the xcov result see the periodicity of the waveform... I mean i can SEE it visually when i plot the graph, but not measure it accurately. Any help would be very much appreciated. Thankyou, James

# autocovariance in matlab

Started by ●January 6, 2006

Reply by ●January 6, 20062006-01-06

Wookie wrote:> Hi, > > I have a MATLAB related question. I have a periodic signal loaded into > Matlab and i am trying to estimate the Autocovariance of it by using the > xcov command. > > This gives me an output that i store as a variable. I'd just like to know > if anyone knows why: > > a) the xcov matrix is twice as long as the original signal and;Is it a matrix or a vector? The difference is that a vector is of dimension M x 1 (or 1 x M) for some general M. That is, one of the dimensions is 1. A matrix is of dimension N x M where both N and M are different from 1. Assuming you get a vector, not a matrix, at the output, you will find that the length of the output is 2N-1 where N is the length of the input signal. This follows directly from the covariance fomula, where the non-zero elements furthest away from 0 are at +/-N-1. Just play with the covariance formula to see this.> b) how can i, from the xcov result see the periodicity of the waveform... > I mean i can SEE it visually when i plot the graph, but not measure it > accurately.You see the periodic behaviour of the signal as to big "lumps" in the covariance sequence, at k = +/- M, where M is the period of the input signal. Rune

Reply by ●January 6, 20062006-01-06