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Correlation and Convolution

Cross-correlation, autocorrelation, cross-covariance, autocovariance, linear and circular convolution

Signal Processing Toolbox™ provides a family of correlation and convolution functions that let you detect signal similarities. Determine periodicity, find a signal of interest hidden in a long data record, and measure delays between signals to synchronize them. Compute the response of a linear time-invariant (LTI) system to an input signal, perform polynomial multiplication, and carry out circular convolution.

Functions

corrcoefCorrelation coefficients
corrmtxData matrix for autocorrelation matrix estimation
xcorrCross-correlation
xcorr22-D cross-correlation
xcovCross-covariance
cconvModulo-N circular convolution
convConvolution and polynomial multiplication
conv22-D convolution
convmtxConvolution matrix
covCovariance
deconvDeconvolution and polynomial division
alignsignalsAlign two signals by delaying earliest signal
dtwDistance between signals using dynamic time warping
edrEdit distance on real signals
finddelayEstimate delay(s) between signals
findsignalFind signal location using similarity search

Topics

Common Applications

Find a Signal in a Measurement

Determine if a signal matches a segment of a noisy longer stream of data.

Align Two Simple Signals

Learn to align signals of different lengths using cross-correlation.

Align Signals with Different Start Times

Synchronize data collected by different sensors at different instants.

Align Signals Using Cross-Correlation

Use cross-correlation to fuse asynchronous data.

Find Periodicity Using Autocorrelation

Verify the presence of cycles in a noisy signal, and determine their durations.

Autocorrelation and Cross-Correlation

Confidence Intervals for Sample Autocorrelation

Create confidence intervals for the autocorrelation sequence of a white noise process.

Residual Analysis with Autocorrelation

Use autocorrelation with a confidence interval to analyze the residuals of a least-squares fit to noisy data.

Autocorrelation of Moving Average Process

Use filtering to introduce autocorrelation into a white noise process.

Cross-Correlation of Two Moving Average Processes

Find and plot the cross-correlation sequence between two moving average processes.

Cross-Correlation of Delayed Signal in Noise

Use the cross-correlation sequence to detect the time delay in a noise-corrupted sequence.

Cross-Correlation of Phase-Lagged Sine Wave

Use the cross-correlation sequence to estimate the phase lag between two sine waves.

Linear and Circular Convolution

Establish an equivalence between linear and circular convolution.

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