Autocorrelation matrix

The autocorrelation matrix is used in various digital signal processing algorithms. It consists of elements of the discrete autocorrelation function, $R_{xx}(j)$ arranged in the following manner:

This is clearly a Hermitian matrix and a Toeplitz matrix. If $\mathbf{x}$ is wide-sense stationary then its autocorrelation matrix will be positive definite.

单词	Autocorrelation matrix
释义	Autocorrelation matrix 英语百科 Autocorrelation matrix The autocorrelation matrix is used in various digital signal processing algorithms. It consists of elements of the discrete autocorrelation function, $R_{xx}(j)$ arranged in the following manner: This is clearly a Hermitian matrix and a Toeplitz matrix. If $\mathbf{x}$ is wide-sense stationary then its autocorrelation matrix will be positive definite.
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