The autocorrelation of a signal is simply the cross-correlation of with itself:
(3.24) |
Note that this definition of autocorrelation is appropriate for signals having finite support (nonzero over a finite number of samples). For infinite-energy (but finite-power) signals, such as stationary noise processes, we define the sample autocorrelation to include a normalization suitable for this case (see Chapter 6 and Appendix C).
From the autocorrelation theorem we have that a digital-filter impulse-response is that of a lossless allpass filter [263] if and only if . In other words, the autocorrelation of the impulse-response of every allpass filter is impulsive.