Signal Processing Toolbox Previous page   Next Page
corrmtx

Data matrix for autocorrelation matrix estimation

Syntax

Description

X = corrmtx(x,m) returns an (n+m)-by-(m+1) rectangular Toeplitz matrix X, such that X'X is a (biased) estimate of the autocorrelation matrix for the length n data vector x.

X = corrmtx(x,m,'method') computes the matrix X according to the method specified by the string 'method':

[X,R] = corrmtx(...) also returns the (m+1)-by-(m+1) autocorrelation matrix estimate R, calculated as X'*X.

Examples

Algorithm

The Toeplitz data matrix computed by corrmtx depends on the method you select. The matrix determined by the autocorrelation (default) method is given by the following matrix.

In this matrix, m is the same as the input argument m to corrmtx, and n is length(x). Variations of this matrix are used to return the output X of corrmtx for each method:

See Also

peig, pmusic, rooteig, rootmusic, xcorr

References

[1] Marple, S.L. Digital Spectral Analysis, Englewood Cliffs, NJ, Prentice-Hall, 1987, pp. 216-223.


Previous page  corrcoef cov Next page

© 1994-2005 The MathWorks, Inc.