optic.dsp.core.autocorr

autocorr(x, nTaps)

Estimate the autocorrelation coefficients of a signal x up to lag nTaps-1.

Parameters:

• x (array-like) – The input signal for which to estimate the autocorrelation coefficients.

• nTaps (int) – The number of autocorrelation coefficients to estimate (lags from 0 to nTaps-1).

Returns:

r – An array of length nTaps containing the estimated autocorrelation coefficients, where r[k] is the autocorrelation at lag k.

Return type:

np.ndarray

Notes

The autocorrelation coefficients are estimated using the unbiased estimator, which normalizes the sum of products by the number of terms that contribute to each lag. This provides a more accurate estimate of the autocorrelation, especially for larger lags.

References

[1] Gallager, R. G., Introduction to Random Signals and Applied Kalman Filtering. John Wiley & Sons, 2010.