Cross Correlation

The cross-correlation function gives a measure of the extent to which two signals correlate with each other as a function of the time displacement between them.

If the signals are identical, the cross correlation will be one, and if they are completely dissimilar, the cross correlation will be zero.

The cross correlation of two functions fx(t) and fy(t)

reduces to an autocorrelation when fx(t)=fy(t)

  1. To determine to what extent a signal measured at one point originates from a particular source, and with what time delay.
  2. To detect the existence of a signal in extraneous noise.

See also: Autocorrelation, Correlation, Cross Spectrum.

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Subjects: Mathematics Noise & Vibration Signal Processing