Statistical Uncertainty of Estimating Correlation between Signals in Noise.
SACLANT ASW RESEARCH CENTRE LA SPEZIA (ITALY)
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The memorandum considers the problem of estimating the correlation between two stationary random signals. The signals are known only for a finite interval of time and are corrupted by noise. Equations for the estimated correlation coefficient and the standard deviation of this coefficient are given. The application of the formulae requires that the signal has a large number of degrees of freedom within the time interval subject to analysis. Furthermore, the formulae for the standard deviation of the estimated correlation is valid only if this correlation is significantly different from zero. Author
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