Why is the autocorrelation equal to the expected value?

In summary, there was a question about the conversion of the expected value of a signal multiplied by itself to the crosscorrelation of the signal at l = 0. The conversation delved into the definitions of autocorrelation and expected value for a discrete signal, with the conclusion that the expected value of a signal is not the mean, but rather the total signal power. Therefore, the autocorrelation at l = 0 is equal to the expected value of the signal squared.
  • #1
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Homework Statement


This isn't really a homework question as much as something that I just couldn't figure out.
I just noticed in an exam I was working on that they at one point converted the expected value of a signal multipled by itself to the crosscorelation of the signal at l = 0, and a quick google shows that this is indeed correct, but I'm having some problems understanding why, consider the following.

Let's say we have a discrete signal x[n] given by [0 4 8 12].

The autocorrelation at l = 0 would be defined as:

[tex]$\sum_{n=0} x(n)*x(n)$[/tex]

From minus infinity to infinity, or in our case from 0 to 4, which would give:

0*0 + 4*4 + 8*8 + 12*12 = 224.

Surely, the expected value of x(n)^2 isn't 224? It may just be me misenterpreting what the expected value of a digital signal is, though. But you'd think it is the mean or something. I'm not entirely sure, but some help in understanding why exactly the autocorrelation equals the expected value of the digital signal would be nice.

It seems more to me like the autocorrelation of the signal gives the total signal power, not expected value.
 
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  • #2
Homework Equations The expected value of a discrete signal x[n] is given by: $E[x[n]] = \sum_{n=-\infty}^{\infty}x[n]*p[n]$where p[n] is the probability function.The autocorrelation of a signal x[n] is given by: $R_{x[n],x[n]}[m] = \sum_{n=-\infty}^{\infty} x[n+m]*x[n]$The Attempt at a Solution I think I've figured it out, the expected value of a discrete signal isn't really the mean of the signal, but rather the total power of the signal, in the same way that the variance of a signal is given by the mean squared deviation from the mean. So, the expected value of x[n]^2 would indeed be the same as the autocorrelation of x[n] at l = 0, since the autocorrelation at l = 0 gives the total signal power.
 

1. What is autocorrelation and why is it important?

Autocorrelation is a statistical measure that examines the correlation between a variable and its own past values. It is important because it helps us understand the underlying patterns and relationships within a dataset, which can be useful for making predictions and identifying trends.

2. How is autocorrelation calculated?

Autocorrelation is typically calculated using a mathematical formula, such as Pearson's correlation coefficient or Spearman's rank correlation coefficient. These formulas take into account the values and time intervals of a variable's past data points to determine the level of correlation.

3. Why is the autocorrelation equal to the expected value?

The autocorrelation is equal to the expected value because it measures the correlation between a variable and its own past values, which are expected to be similar. In other words, the expected value is the average value that we would expect to see based on past data, and the autocorrelation reflects the degree to which the current value matches this expectation.

4. How does autocorrelation affect statistical analyses?

Autocorrelation can affect statistical analyses by introducing bias into the results. This is because autocorrelation violates the assumption of independence between data points, which is necessary for many statistical tests to be valid. As a result, it is important to account for autocorrelation in data analysis to ensure accurate and reliable results.

5. Can autocorrelation be positive or negative?

Yes, autocorrelation can be positive or negative. A positive autocorrelation indicates that there is a positive relationship between a variable and its past values, meaning that as one increases, the other tends to increase as well. A negative autocorrelation indicates an inverse relationship, meaning that as one variable increases, the other tends to decrease.

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