Computing the autocorrelation Matrix in Matlab
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Hello everyone.
Iam reading a course in signal processing and we talked about autocorrelation and the autocorrelation Matrix. As far as I have understood, Matlab can compute the sample autocorrelation sequence by using the xcorr() function.
The result would be according to formula: rx(k) = 1/N*Sum(x(n)*x(n+k)), giving the autocorrelations rxx(0,0), rxx(0,1), rxx(0,2)...
From that I could easily create the autocorrelation Matrix Rxx by i.ex. using the teoplitz() function to get:
Rxx = rxx(0) rxx*(1) rxx*(2) ... rxx*(n-1)
rxx(1) rxx(0) rxx*(1) ... rxx*(n-2)
rxx(2) rxx(1) rxx(0) .... rxx*(n-2)
Now Iam wondering what happens if a have an autocorrrelation like this:
rx(k,l) = 1/N*Sum(x(n-k)*x(n+l))
where the autocorrelation depends on both time k and time l.
I would like to compute an autocorrelation of the form:
Rxx = rxx(0,0) rxx(0,1) rxx(0,2) ... rxx(0,n-1)
rxx(1,0) rxx(1,1) rxx(1,2) ... rxx(1,n-2)
rxx(2,0) rxx(2,1) rxx(2,2) ... rxx(2,n-2)
.... .... .... ... ...
How would can do that in Matlab?
Thanks in advance,
kind regards,
Mike
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