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The autocorrelation matrix is used in various digital signal processing algorithms. It consists of elements of the discrete autocorrelation function, arranged in the following manner: : This is clearly a Hermitian matrix and a Toeplitz matrix. If is wide-sense stationary then its autocorrelation matrix will be positive definite. The ''autocovariance matrix'' is related to the autocorrelation matrix as follows: : Where is a vector giving the mean of signal at each index of time. == References == * Hayes, Monson H., ''Statistical Digital Signal Processing and Modeling'', John Wiley & Sons, Inc., 1996. ISBN 0-471-59431-8. * Solomon W. Golomb, and Guang Gong. (Signal design for good correlation: for wireless communication, cryptography, and radar ). Cambridge University Press, 2005. * M. Soltanalian. (Signal Design for Active Sensing and Communications ). Uppsala Dissertations from the Faculty of Science and Technology (printed by Elanders Sverige AB), 2014. 抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)』 ■ウィキペディアで「Autocorrelation matrix」の詳細全文を読む スポンサード リンク
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