Hi all, I tried to calculate the autocorrelation from FFT using C. As far as I know the input for the inverse FT is the power spectrum density of the data X(t) PSD = (Xreal(f)^2 + Ximag(f)^2) / N, N is the length of the real number After calculating the inverse FT, I scaled the result with 1/N but the result is not 1 (less than 1). I wonder if I made mistake with the scaling factor or something else. Looking forward with your help. Titi

# Scaling factor in inverse fourier transform

Started by ●April 10, 2007

Reply by ●April 10, 20072007-04-10

On Apr 10, 5:06 am, "Titi Anggono" <titi.angg...@gmail.com> wrote:> Hi all, > > I tried to calculate the autocorrelation from FFT using C. As far as I > know the input for the inverse FT is the power spectrum density of the > data X(t) > PSD = (Xreal(f)^2 + Ximag(f)^2) / N, N is the length of the real > number > After calculating the inverse FT, I scaled the result with 1/N but the > result is not 1 (less than 1). > > I wonder if I made mistake with the scaling factor or something else. > Looking forward with your help. > > TitiThere's nothing wrong with having an autocorrelation sequence with values greater than one. It is defined by: r[k] = E(x[n]*conj(x[n-k])) for a wide-sense stationary signal x[n]. This can obviously be greater than one, no issue there. As far as scaling factors go, as long as between your FFT and IFFT you have a total factor of 1/N, you're fine. You could have no scaling factor on the FFT and a 1/N on the IFFT, or you could put 1/sqrt(N) on both. They will give you different intermediate results, but you'll get the same values if you do an FFT- IFFT operation on a dataset. Jason

Reply by ●April 10, 20072007-04-10

On 2007-04-10 07:15:28 -0300, cincydsp@gmail.com said:> On Apr 10, 5:06 am, "Titi Anggono" <titi.angg...@gmail.com> wrote: >> Hi all, >> >> I tried to calculate the autocorrelation from FFT using C. As far as I >> know the input for the inverse FT is the power spectrum density of the >> data X(t) >> PSD = (Xreal(f)^2 + Ximag(f)^2) / N, N is the length of the real >> number >> After calculating the inverse FT, I scaled the result with 1/N but the >> result is not 1 (less than 1). >> >> I wonder if I made mistake with the scaling factor or something else. >> Looking forward with your help. >> >> Titi > > There's nothing wrong with having an autocorrelation sequence with^^^^^^^^^^^^^^^ autocovariance> values greater than one. It is defined by: > > r[k] = E(x[n]*conj(x[n-k])) > > for a wide-sense stationary signal x[n]. This can obviously be greater > than one, no issue there. As far as scaling factors go, as long as > between your FFT and IFFT you have a total factor of 1/N, you're fine. > You could have no scaling factor on the FFT and a 1/N on the IFFT, or > you could put 1/sqrt(N) on both. They will give you different > intermediate results, but you'll get the same values if you do an FFT- > IFFT operation on a dataset. > > JasonThe autocorrelation is the autocovariance divided by the its value at a lag of 0. The autocovariance definitions will usually expect the mean to be 0. (This is a rather common mislabelling of related concepts.)

Reply by ●April 11, 20072007-04-11

Gordon Sande wrote:> The autocorrelation is the autocovariance divided by the its value > at a lag of 0. The autocovariance definitions will usually expect the > mean to be 0. > > (This is a rather common mislabelling of related concepts.)There is some disagreement on my bookshelf on this topic. Usually, texts concerned with the statistics of time series define the autocovariance function as c_xx(k1,k2) := E[ ( X(k1) - E[ X(k1) ] ) ( X(k2) - E[ X(k2) ] ) = E[X(k1) X(k2)] - E[X(k1)] E[X(k2)] and the autocorrelation as r_xx(k1,k2) := c_xx(k1,k2) / sqrt( Var(X(k1)) Var(X(k2)) ). OTH, signal processing texts (eg. [1-4]) define the autocovariance in the same way, but autocorrelation simply as r_xx(k1,k2) := E[X(k1) X(k2)]. Rather confusing. Regards, Andor [1] Oppenheim, Schafer: "Digital Signal Processing" [2] Proakis, Manolakis: "Digital Signal Processing" [3] Hayes: "Statistical Digital Signal Processing And Modeling" [4] Bendat, Piersol: "Measurement And Analysis Of Random Data"