Autocorrelation from Psd Power spectral density in Matlab
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Hi, I've a problem to obtaining the autocorrelation function of a Time series of 50000 samples from the function cpsd or periodogram available in Matlab. for example: % x is the signal minus the mean, then considering only the fluctuation.
T1=1; % seconds finestra=hanning(T1*f_s); % in samples, f_s is a sample frequency. over=T1*f_s/2; % in samples,it is the overlap nfft=T1*f_s;
[Gxx, f]=*cpsd*(x,x, finestra,over,nfft,f_s); % it is the crossspectra
Then to have the correlation, The correlation sequence can be derived from the PSD by use of the inverse discrete-time Fourier transform:
so I did like this:
corr=abs(ifft(Gxx));
but the result it is not correct. How can I obtain the correlation directrly from the Psd?
Thanks in advance
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