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Lecture-4 Correlation Functions

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18 views26 pages

Lecture-4 Correlation Functions

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mkazmi.bee21seecs
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LECTURE-4: CORRELATION

FUNCTIONS
SALMAN GHAFOOR
Problem Scenario
A signal g(t) is transmitted and received after reflection from the
target – received signal is denoted as z(t)
1. How to know if the received signal is a reflection of transmitted
signal?
2. How to determine distance of the target?
SIGNALS VERSUS VECTORS
Signals versus Vectors
 There is a strong connection between signals and vectors

 Signals that are defined for only a finite number of time instants (say N)
can be written as vectors (of dimension N)

 Thus, consider a signal g(t) defined over a closed time interval [a, b]

 Let us pick N points uniformly on the time interval [a, b] such that:
Signals versus Vectors
Then we can write a signal vector g as an N-dimensional vector

As the number of time instants N increases, the sampled signal


vector g will grow

As 𝑁 → ∞, the signal values will form a vector g of infinitely long


dimension

Because 𝜖 → 0, the signal vector g will transform into the


continuous-time signal g(t) defined over the interval [a, b]:
Signals versus Vectors
 This implies, continuous time signals are straightforward generalizations
of finite dimension vectors

 Thus, basic definitions and operations in a vector space can be applied


to continuous time signals as well

 We shall denote all vectors by boldface type, for example, x is a certain


vector with magnitude or length 𝐱

 In a vector space, we can define the inner (dot or scalar) product of two
real-valued vectors g and x and norm 𝐱 of x as:

 𝜃 is the angle between vectors g and x


COMPONENT OF A VECTOR ALONG
ANOTHER VECTOR
Projection of Vectors
Consider two vectors g and x

Let the component of g along x be cx

Geometrically, the component of g along x is the projection of g


on x and is obtained by drawing a perpendicular from the tip of g
on the vector x
Projection of Vectors
What is the mathematical significance of a component of a vector
along another vector?

The vector g can be expressed in terms of vector x as:

However, this does not describe a unique way to decompose g in


terms of x and e, two of the infinite other possibilities are:
Projection of Vectors
The question is: Which is the "best" decomposition?

The approximation in the first figure is unique because its error


vector is the shortest (with the smallest magnitude or norm)

We can now define mathematically the component (or projection)


of a vector g along vector x to be cx, where c is chosen to
minimize the magnitude of the error vector 𝐞 = 𝐠 − 𝑐𝐱

Geometrically, the magnitude of the component of g along x is


𝐠 𝑐𝑜𝑠𝜃, which is also equal to 𝑐 𝐱 , therefore:
Projection of Vectors
Based on the definition of inner product between two vectors,
multiplying both sides by 𝐱 yields:

And

It is apparent that when g and x are perpendicular, or orthogonal,


then g has a zero component along x; consequently, c = 0

We therefore define g and x to be orthogonal if the inner (scalar


or dot) product of the two vectors is zero, that is, if:
ORTHOGNALITY OF CONTINUOUS
TIME SIGNALS
Orthogonality of CT Signals
 The concepts of vector component and orthogonality can be directly
extended to continuous time signals

 Consider the problem of approximating a real signal g(t) in terms of


another real signal x(t) over an interval [t1, t2]:

 The error e(t) in this approximation is:

 For "best approximation," we need to minimize the error signal, that is,
minimize its norm
Orthogonality of CT Signals
Minimum signal norm corresponds to minimum energy Ee over the
interval [t1, t2] given by:

To minimize Ee, a necessary condition is:

Or:
Orthogonality of CT Signals
Expanding the squared term inside the integral, we obtain:

Or:

So, if a signal g(t) is approximated by another signal x(t) as


𝑔 𝑡 ≈ 𝑐𝑥 𝑡 , then the optimum value of c that minimizes the
energy of the error signal in this approximation is given by:
Orthogonality of CT Signals
 Similarly, we say that if the component of a signal g(t) along x(t) is zero
(i.e., c = 0), the signals g(t) and x(t) are orthogonal over the interval
[t1, t2]:

 This integral is identical to the standard definition of the inner product


of two N-dimensional vectors g and x

 Therefore, the inner product of two (real-valued) signals g(t) and x(t)
defined over a time interval [t1, t2] may be written as:
Orthogonality of CT Signals
 From algebraic geometry: the square of a vector length 𝐱 2 is equal to
< 𝐱, 𝐱 >

 Continuing our analogy with vector analysis, we define the norm of a


signal g(t) as:

 This is the square root of the signal energy in the time interval

 Therefore, the norm of a signal is analogous to the length of a finite


dimensional vector

 More generally, signals may not be merely defined over a continuous


segment [t1, t2]
Orthogonality of CT Signals
For complex signals that are a function of t, the optimum
coefficient becomes:

Complex functions (signals) x1(t) and x2(t) are orthogonal over an


interval (𝑡1 ≤ 𝑡 ≤ 𝑡2 ) as long as:

Or:
CORRELATION OF SIGNALS
Correlation Coefficient
By defining the inner product and the norm of signals, we paved
the foundation for signal comparison

We could consider c to be a quantitative measure of similarity


between g and x

Such a measure, however, would be defective because it varies


with the norms (or lengths) of g and x

Therefore, similarity between two vectors is indicated by the


angle 𝜃 between the vectors - smaller the 𝜃, the larger the
similarity, and vice versa
Correlation Coefficient
 Amount of similarity can therefore be conveniently measured by 𝑐𝑜𝑠𝜃

 The larger the 𝑐𝑜𝑠𝜃, the larger the similarity between the two vectors

 Thus, a suitable measure would be 𝜌 = 𝑐𝑜𝑠𝜃, also called correlation


coefficient and is given by:

 Observe that:

 Two vectors aligned in opposite directions have maximum dissimilarity


(𝜌 = −1)
Correlation Coefficient
We use the same argument in defining a similarity index (the
correlation coefficient) for signals

To establish a similarity index independent of energies (sizes) of


g(t) and x(t), we must normalize c by normalizing the two signals
to have unit energies

Mathematically (out of scope), one can show that the magnitude


of 𝜌 is never greater than 1:
Correlation Functions
 Let us revisit the application of correlation to signal detection in a radar
unit, where a signal pulse is transmitted to detect a suspected target

 By detecting the presence or absence of the reflected pulse, we confirm


the presence or absence of the target

 By measuring the time delay between the transmitted and received


(reflected) pulse, we determine the distance of the target

 Let the transmitted and the reflected pulses be denoted by g(t) and
z(t), respectively
Correlation Functions
 We can directly to measure the correlation coefficient 𝜌 as:

 The correlation is zero because the pulses are disjoint (nonoverlapping


in time)

 To avoid this difficulty, we compare the received pulse z(t) with the
transmitted pulse g(t) shifted by 𝜏

 If for some value of 𝜏, there is a strong correlation, we not only detect


the presence of the pulse, but we also detect the relative time shift of
z(t) with respect to g(t)
Correlation Functions
 We use the modified integral 𝜓𝑔𝑧 (𝜏), the cross-correlation function of
two complex signals g(t) and z(t), defined by:

 Correlation of a signal with itself is called the autocorrelation, defined


as:
SUMMARY
Signals and vectors

Component of a vector along another vector

Orthogonality of CT signals

Cross-correlation function

Autocorrelation function

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