Why isn't the autocorrelation of rand a delta function?

Question

Erika 2013-7-17

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/82410-why-isn-t-the-autocorrelation-of-rand-a-delta-function

Hello,

As both rand and randn generate uncorrelated random numbers, I expected that the autocorrelation of both rand or randn shows delta functions. However the result was different for rand.

(rand generates uniformly distributed random numbers and randn generates normal random numbers)

Does anyone know why the autocorrelation of rand is not a delta function?

x=rand(1,100,1); Rxx=xcorr(x); subplot(2,1,1); plot(Rxx); grid; title('Autocorrelation function of rand'); xlabel('lags'); ylabel('Autocorrelation');

x=randn(1,100,1); Rxx=xcorr(x); subplot(2,1,2); plot(Rxx); title('Autocorrelation function of randn'); xlabel('lags'); ylabel('Autocorrelation');

0 个评论
显示 -2更早的评论隐藏 -2更早的评论

请先登录，再进行评论。

请先登录，再回答此问题。

Answer 1

Teja Muppirala 2013-7-18

1
链接

此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/82410-why-isn-t-the-autocorrelation-of-rand-a-delta-function#answer_92095

在 MATLAB Online 中打开

As described in detail here, http://en.wikipedia.org/wiki/Autocorrelation, there is more than one convention when calculating autocorrelation. In signal processing, autocorrelation of a sequence is often calculated without subtracting off the mean. As described in the documentation, this is indeed what XCORR does:

http://www.mathworks.com/help/signal/ref/xcorr.html

By default, xcorr computes raw correlations with no normalization.

If you generate the uniform random numbers with no bias (subtract 0.5), you will indeed get a result that looks like a delta function.

x=rand(1,100,1)-0.5; Rxx=xcorr(x); subplot(2,1,1); plot(Rxx); grid; title('Autocorrelation function of rand'); xlabel('lags'); ylabel('Autocorrelation');
x=randn(1,100,1); Rxx=xcorr(x); subplot(2,1,2); plot(Rxx); title('Autocorrelation function of randn'); xlabel('lags'); ylabel('Autocorrelation');