The present lecture note is a supplement to the textbook Digital Signal Processing by J. Proakis and D.G. Manolakis used in the IMM/DTU course 02451 Digital Signal Processing and provides an extended discussion of correlation functions and power spectra. The definitions of correlation functions and spectra for discrete-time and continuous-time (analog) signals are pretty similar. Consequently, we confine the discussion mainly to real discrete-time signals. The Appendix contains detailed definitions and properties of correlation functions and spectra for analog as well as discrete-time signals. It is possible to define correlation functions and associated spectra for aperiodic, periodic and random signals although the interpretation is different. Moreover, we will discuss correlation functions when mixing these basic signal types. In addition, the note include several examples for the purpose of illustrating the discussed methods.
estimation; cross correlation function; stationary ergodic signals; random signals; properties; aperiodic; cross power spectrum; periodic