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I have a signal and i'd like to estimate its temporal correlation.

My limited understanding is i should compute the PSD by estimation using a parametric model such as AR.

However, i'm not quite clear on which mathematical techniques to use.

I'd be happy with any insignts or good sources of info (books)?

Thanks

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1 Answer 1

The formula for the temporal corelation between a signal at time $k$ and the same signal at time $k+m$ is: $$\rho_{k,k+m}=\frac{E((P_k-\overline P_k)(P_{k+m}-\overline P_{k+m}))}{\sqrt{ E((P_k-\overline P_k)^2 E((P_{k+m}-\overline P_{k+m})^2}}$$

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