How to convert an autocorrelation function to a signal

Started by January 10, 2008
Hai

My project work involves conversion of PSD into its signal. I have the
variation of PSD with frequency. Using FFT I can change this PSD into
autocorrelation. Pl suggest me whether it is possible to get the signal
from its autocorrelation function, Is it so suggest me in this regards

Regards
Easwar
Hi Easwar

In general it is not possible to extract an arbitrary signal from its autocorrelation function. Autocorrelation function is just a second order representation of a signal. The signal could very well be composed of higher order statistics. Also the signal may not even be wide-sense stationary further complicating the issue!

Consider a simple example: If you have a stationary white noise sequence its sample autocorrelation is just the delta function scaled by the variance (assuming you have enough samples to compute the autocorrelation) . There is absolutely no way you can obtain the particular realization of the white noise sequence with just the autocorrelation sequence.

-Gokul

----- Original Message ----
From: arthanareeswaran palaniappan
To: m...
Sent: Wednesday, 9 January, 2008 7:41:54 AM
Subject: [matlab] How to convert an autocorrelation function to a signal

Hai

My project work involves conversion of PSD into its signal. I have the variation of PSD with frequency. Using FFT I can change this PSD into autocorrelation. Pl suggest me whether it is possible to get the signal from its autocorrelation function, Is it so suggest me in this regards

Regards

Easwar