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cross correlation and auto-correlation question

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abhigopal

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Hi all,
I have a question! I have a vector( array of elements) and I need to compute the auto-correlation matrix for this. How do I do it in Matlab. This matrix needs to be toeplitz and symmetrical.

Also on the same lines, How do i perform cross correlation between 2 sets of elements (arrays again) using matlab.

I need all this because of work I am doing in Statistical Signal Processing,
Thanks all
Abhi

note to moderators :- I posted this msg on the DSP forum as well! But I thought I woul get a quicker response here. Please delete the other post if need be but I would appreciate it if it remains there as well! Thanks
 

plz take help of the book by matlab"ingle and proakis"thamson publication
 

Hi,
In Matlab you can use the command "xcorr" in order to find the correlation. the command takes a vector or two and calculates the correlation and cross corelation.
But the problem is that the out put is a vector!!!
you have two soloutions to find the correlation matrix.
1- change the elements of xcorr result to the correlation matrix form.
2- or repeat you data and change it to a matrix form and use "cov" command in order to find correlation matrix!!

I hope you found this helpfull.
yours.
 

you can use xcorr and you can see how to use it from matlab help
 

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