Cross-correlation matrix: Difference between revisions

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{{Otherother uses2uses|Correlation function (disambiguation)}}

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{{Unreferenceddisputed|date=December 20092018}}

[[File:Comparison_convolution_correlation.svg|thumb|300px|Visual comparison of [[convolution]], [[cross-correlation]] and [[autocorrelation]].]]

{{More citations needed|date=December 2009}}

A '''correlation function''' is a [[function (mathematics)|function]] that gives the statistical [[correlation]] between [[random variable]]s, contingent on the spatial or temporal distance between those variables. If one considers the correlation function between random variables representing the same quantity measured at two different points then this is often referred to as an [[autocorrelation function]], which is made up of [[autocorrelation]]s. Correlation functions of different random variables are sometimes called '''cross-correlation functions''' to emphasise that different variables are being considered and because they are made up of [[cross-correlation]]s.

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{{Correlation and covariance}}

The '''cross-correlation matrix''' of two [[random vector]]s is a matrix containing as elements the cross-correlations of all pairs of elements of the random vectors. The cross-correlation matrix is used in various digital signal processing algorithms.

Correlation functions are a useful indicator of dependencies as a function of distance in time or space, and they can be used to assess the distance required between sample points for the values to be effectively uncorrelated. In addition, they can form the basis of rules for interpolating values at points for which there are no observations.

Correlation functions used in [[correlation function (astronomy)|astronomy]], [[financial analysis]], and [[statistical mechanics]] differ only in the particular stochastic processes they are applied to. In [[quantum field theory]] there are [[Correlation function (quantum field theory)|correlation functions over quantum distributions]].

==Definition==

For two [[random vector]]s <math>\mathbf{X} = (X_1,\ldots,X_m)^{\rm T}</math> and <math>\mathbf{Y} = (Y_1,\ldots,Y_n)^{\rm T}</math>, each containing [[random element]]s whose [[expected value]] and [[variance]] exist, the '''cross-correlation matrix''' of <math>\mathbf{X}</math> and <math>\mathbf{Y}</math> is defined by<ref name=Gubner>{{cite book |first=John A. |last=Gubner |year=2006 |title=Probability and Random Processes for Electrical and Computer Engineers |publisher=Cambridge University Press |isbn=978-0-521-86470-1}}</ref>{{rp|p.337}}

For random variables ''X''(''s'') and ''X''(''t'') at different points ''s'' and ''t'' of some space, the correlation function is

{{Equation box 1

:<math>C(s,t) = \operatorname{corr} ( X(s), X(t) ) ,</math>

|indent =

|title=

|equation = <math>\operatorname{R}_{\mathbf{X}\mathbf{Y}} \triangleq\ \operatorname{E}[\mathbf{X} \mathbf{Y}^{\rm T}]</math>

|cellpadding= 6

|border

|border colour = #0073CF

|background colour=#F5FFFA}}

and has dimensions <math>m \times n</math>. Written component-wise:

where <math>\operatorname{corr}</math> is described in the article on [[correlation]]. In this definition, it has been assumed that the stochastic variable is scalar-valued. If it is not, then more complicated correlation functions can be defined. For example, if ''X''(''s'') is a vector, then a matrix of correlation functions is defined with <math>i,j</math> element

:<math>\operatorname{R}_{\mathbf{X}\mathbf{Y}} =

:<math>C_{ij}(s,t) = \operatorname{corr}( X_i(s), X_j(t) ).</math>

\begin{bmatrix}

\operatorname{E}[X_1 Y_1] & \operatorname{E}[X_1 Y_2] & \cdots & \operatorname{E}[X_1 Y_n] \\ \\

\operatorname{E}[X_2 Y_1] & \operatorname{E}[X_2 Y_2] & \cdots & \operatorname{E}[X_2 Y_n] \\ \\

\vdots & \vdots & \ddots & \vdots \\ \\

\operatorname{E}[X_m Y_1] & \operatorname{E}[X_m Y_2] & \cdots & \operatorname{E}[X_m Y_n] \\ \\

\end{bmatrix}

</math>

The random vectors <math>\mathbf{X}</math> and <math>\mathbf{Y}</math> need not have the same dimension, and either might be a scalar value.

Sometimes the [[trace (matrix)|trace]] of this matrix is focused on. If the [[probability distribution]] has any target space symmetries, i.e. symmetries in the value space of the stochastic variable (also called '''internal symmetries'''), then the correlation matrix will have induced symmetries. Similarly, if there are symmetries of the space (or time) ___domain in which the random variables exist (also called '''[[spacetime symmetries]]'''), then the correlation function will have corresponding space or time symmetries. Examples of important spacetime symmetries are &mdash;

*'''translational symmetry''' yields ''C''(''s'',''s''<nowiki>'</nowiki>) = ''C''(''s''&nbsp;&minus;&nbsp;''s''<nowiki>'</nowiki>) where ''s'' and ''s''<nowiki>'</nowiki> are to be interpreted as vectors giving coordinates of the points

*'''rotational symmetry''' in addition to the above gives ''C''(''s'', ''s''<nowiki>'</nowiki>) = ''C''(|''s''&nbsp;&minus;&nbsp;''s''<nowiki>'</nowiki>|) where |''x''| denotes the norm of the vector ''x'' (for actual rotations this is the Euclidean or 2-norm).

==Example==

Higher order correlation functions are often defined. A typical correlation function of order ''n'' is

For example, if <math>\mathbf{X} = \left( X_1,X_2,X_3 \right)^{\rm T}</math> and <math>\mathbf{Y} = \left( Y_1,Y_2 \right)^{\rm T}</math> are random vectors, then

<math>\operatorname{R}_{\mathbf{X}\mathbf{Y}}</math> is a <math>3 \times 2</math> matrix whose <math>(i,j)</math>-th entry is <math>\operatorname{E}[X_i Y_j]</math>.

==Complex random vectors==

:<math>C_{i_1i_2\cdots i_n}(s_1,s_2,\cdots,s_n) = \langle X_{i_1}(s_1) X_{i_2}(s_2) \cdots X_{i_n}(s_n)\rangle.</math>

If <math>\mathbf{Z} = (Z_1,\ldots,Z_m)^{\rm T}</math> and <math>\mathbf{W} = (W_1,\ldots,W_n)^{\rm T}</math> are [[complex random vector]]s, each containing random variables whose expected value and variance exist, the cross-correlation matrix of <math>\mathbf{Z}</math> and <math>\mathbf{W}</math> is defined by

:<math>\operatorname{R}_{\mathbf{Z}\mathbf{W}} \triangleq\ \operatorname{E}[\mathbf{Z} \mathbf{W}^{\rm H}]</math>

If the random vector has only one component variable, then the indices <math>i,j</math> are redundant. If there are symmetries, then the correlation function can be broken up into [[irreducible representation]]s of the symmetries &mdash; both internal and spacetime.

where <math>{}^{\rm H}</math> denotes [[Hermitian transpose|Hermitian transposition]].

==Properties of probability distributions==

With these definitions, the study of correlation functions is similar to the study of [[probability distributions]]. Many stochastic processes can be completely characterized by their correlation functions; the most notable example is the class of [[Gaussian processes]].

==Uncorrelatedness==

Probability distributions defined on a finite number of points can always be normalized, but when these are defined over continuous spaces, then extra care is called for. The study of such distributions started with the study of [[random walk]]s and led to the notion of the [[Itō calculus]].

Two random vectors <math>\mathbf{X}=(X_1,\ldots,X_m)^{\rm T} </math> and <math>\mathbf{Y}=(Y_1,\ldots,Y_n)^{\rm T} </math> are called '''uncorrelated''' if

:<math>\operatorname{E}[\mathbf{X} \mathbf{Y}^{\rm T}] = \operatorname{E}[\mathbf{X}]\operatorname{E}[\mathbf{Y}]^{\rm T}.</math>

They are uncorrelated if and only if their cross-covariance matrix <math>\operatorname{K}_{\mathbf{X}\mathbf{Y}}</math> matrix is zero.

The Feynman [[path integral formulation|path integral]] in Euclidean space generalizes this to other problems of interest to [[statistical mechanics]]. Any probability distribution which obeys a condition on correlation functions called [[reflection positivity]] lead to a local [[quantum field theory]] after [[Wick rotation]] to [[Minkowski spacetime]]. The operation of [[renormalization]] is a specified set of mappings from the space of probability distributions to itself. A [[quantum field theory]] is called renormalizable if this mapping has a fixed point which gives a quantum field theory.

In the case of two [[complex random vector]]s <math>\mathbf{Z}</math> and <math>\mathbf{W}</math> they are called uncorrelated if

:<math>\operatorname{E}[\mathbf{Z} \mathbf{W}^{\rm H}] = \operatorname{E}[\mathbf{Z}]\operatorname{E}[\mathbf{W}]^{\rm H}</math>

and

:<math>\operatorname{E}[\mathbf{Z} \mathbf{W}^{\rm T}] = \operatorname{E}[\mathbf{Z}]\operatorname{E}[\mathbf{W}]^{\rm T}.</math>

==Properties==

===Relation to the cross-covariance matrix===

The cross-correlation is related to the ''cross-covariance matrix'' as follows:

:<math>\operatorname{K}_{\mathbf{X}\mathbf{Y}} = \operatorname{E}[(\mathbf{X} - \operatorname{E}[\mathbf{X}])(\mathbf{Y} - \operatorname{E}[\mathbf{Y}])^{\rm T}] = \operatorname{R}_{\mathbf{X}\mathbf{Y}} - \operatorname{E}[\mathbf{X}] \operatorname{E}[\mathbf{Y}]^{\rm T}</math>

: Respectively for complex random vectors:

:<math>\operatorname{K}_{\mathbf{Z}\mathbf{W}} = \operatorname{E}[(\mathbf{Z} - \operatorname{E}[\mathbf{Z}])(\mathbf{W} - \operatorname{E}[\mathbf{W}])^{\rm H}] = \operatorname{R}_{\mathbf{Z}\mathbf{W}} - \operatorname{E}[\mathbf{Z}] \operatorname{E}[\mathbf{W}]^{\rm H}</math>

==See also==

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*[[Correlation does not imply causation]]

*[[Covariance function]]

*[[Covariance mapping]]

*[[Pearson product-moment correlation coefficient]]

*[[Correlation function (astronomy)]]

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*[[Correlation function (quantum field theory)]]

*[[Mutual information]]

*[[Rate distortion theory#Rate–distortion_functionsRate–distortion functions|Rate distortion theory]]

*[[Radial distribution function]]

==References==

{{reflist}}

==Further reading==

* Hayes, Monson H., ''Statistical Digital Signal Processing and Modeling'', John Wiley & Sons, Inc., 1996. {{ISBN|0-471-59431-8}}.

* Solomon W. Golomb, and [[Guang Gong]]. [http://www.cambridge.org/us/academic/subjects/computer-science/cryptography-cryptology-and-coding/signal-design-good-correlation-wireless-communication-cryptography-and-radar Signal design for good correlation: for wireless communication, cryptography, and radar]. Cambridge University Press, 2005.

* M. Soltanalian. [http://theses.eurasip.org/theses/573/signal-design-for-active-sensing-and/download/ Signal Design for Active Sensing and Communications]. Uppsala Dissertations from the Faculty of Science and Technology (printed by Elanders Sverige AB), 2014.

{{DEFAULTSORT:Correlation Function}}

[[Category:Covariance and correlation]]

[[Category:Time series analysis]]

[[Category:Spatial data analysis]]

[[Category:Matrices (mathematics)]]

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