Contents

Cross-correlation matrix

For other uses, see Correlation function (disambiguation).

This article has multiple issues. Please help improve it or discuss these issues on the talk page. (Learn how and when to remove these template messages) This article's factual accuracy is disputed. Relevant discussion may be found on the talk page. Please help to ensure that disputed statements are reliably sourced. (December 2018) (Learn how and when to remove this message) This article needs additional citations for verification. Please help improve this articlebyadding citations to reliable sources. Unsourced material may be challenged and removed. Find sources: "Cross-correlation matrix" – news · newspapers · books · scholar · JSTOR (December 2009) (Learn how and when to remove this message) (Learn how and when to remove this message)

Part of a series on Statistics
Correlation and covariance
For random vectors Autocorrelation matrix Cross-correlation matrix Auto-covariance matrix Cross-covariance matrix
For stochastic processes Autocorrelation function Cross-correlation function Autocovariance function Cross-covariance function
For deterministic signals Autocorrelation function Cross-correlation function Autocovariance function Cross-covariance function
v t e

The cross-correlation matrix of two random vectors is a matrix containing as elements the cross-correlations of all pairs of elements of the random vectors. The cross-correlation matrix is used in various digital signal processing algorithms.

Definition

For two random vectors ${\displaystyle \mathbf {X} =(X_{1},\ldots ,X_{m})^{\rm {T}}}$ and ${\displaystyle \mathbf {Y} =(Y_{1},\ldots ,Y_{n})^{\rm {T}}}$, each containing random elements whose expected value and variance exist, the cross-correlation matrixof${\displaystyle \mathbf {X} }$ and ${\displaystyle \mathbf {Y} }$ is defined by^[1]: p.337

and has dimensions ${\displaystyle m\times n}$. Written component-wise:

${\displaystyle \operatorname {R} _{\mathbf {X} \mathbf {Y} }={\begin{bmatrix}\operatorname {E} [X_{1}Y_{1}]&\operatorname {E} [X_{1}Y_{2}]&\cdots &\operatorname {E} [X_{1}Y_{n}]\\\\\operatorname {E} [X_{2}Y_{1}]&\operatorname {E} [X_{2}Y_{2}]&\cdots &\operatorname {E} [X_{2}Y_{n}]\\\\\vdots &\vdots &\ddots &\vdots \\\\\operatorname {E} [X_{m}Y_{1}]&\operatorname {E} [X_{m}Y_{2}]&\cdots &\operatorname {E} [X_{m}Y_{n}]\\\\\end{bmatrix}}}$

The random vectors ${\displaystyle \mathbf {X} }$ and ${\displaystyle \mathbf {Y} }$ need not have the same dimension, and either might be a scalar value.

Example

For example, if ${\displaystyle \mathbf {X} =\left(X_{1},X_{2},X_{3}\right)^{\rm {T}}}$ and ${\displaystyle \mathbf {Y} =\left(Y_{1},Y_{2}\right)^{\rm {T}}}$ are random vectors, then ${\displaystyle \operatorname {R} _{\mathbf {X} \mathbf {Y} }}$ is a ${\displaystyle 3\times 2}$ matrix whose ${\displaystyle (i,j)}$-th entry is ${\displaystyle \operatorname {E} [X_{i}Y_{j}]}$.

Complex random vectors

If${\displaystyle \mathbf {Z} =(Z_{1},\ldots ,Z_{m})^{\rm {T}}}$ and ${\displaystyle \mathbf {W} =(W_{1},\ldots ,W_{n})^{\rm {T}}}$ are complex random vectors, each containing random variables whose expected value and variance exist, the cross-correlation matrix of ${\displaystyle \mathbf {Z} }$ and ${\displaystyle \mathbf {W} }$ is defined by

${\displaystyle \operatorname {R} _{\mathbf {Z} \mathbf {W} }\triangleq \ \operatorname {E} [\mathbf {Z} \mathbf {W} ^{\rm {H}}]}$

where ${\displaystyle {}^{\rm {H}}}$ denotes Hermitian transposition.

Uncorrelatedness

Two random vectors ${\displaystyle \mathbf {X} =(X_{1},\ldots ,X_{m})^{\rm {T}}}$ and ${\displaystyle \mathbf {Y} =(Y_{1},\ldots ,Y_{n})^{\rm {T}}}$ are called uncorrelatedif

${\displaystyle \operatorname {E} [\mathbf {X} \mathbf {Y} ^{\rm {T}}]=\operatorname {E} [\mathbf {X} ]\operatorname {E} [\mathbf {Y} ]^{\rm {T}}.}$

They are uncorrelated if and only if their cross-covariance matrix ${\displaystyle \operatorname {K} _{\mathbf {X} \mathbf {Y} }}$ matrix is zero.

In the case of two complex random vectors ${\displaystyle \mathbf {Z} }$ and ${\displaystyle \mathbf {W} }$ they are called uncorrelated if

${\displaystyle \operatorname {E} [\mathbf {Z} \mathbf {W} ^{\rm {H}}]=\operatorname {E} [\mathbf {Z} ]\operatorname {E} [\mathbf {W} ]^{\rm {H}}}$

and

${\displaystyle \operatorname {E} [\mathbf {Z} \mathbf {W} ^{\rm {T}}]=\operatorname {E} [\mathbf {Z} ]\operatorname {E} [\mathbf {W} ]^{\rm {T}}.}$

Properties

Relation to the cross-covariance matrix

The cross-correlation is related to the cross-covariance matrix as follows:

${\displaystyle \operatorname {K} _{\mathbf {X} \mathbf {Y} }=\operatorname {E} [(\mathbf {X} -\operatorname {E} [\mathbf {X} ])(\mathbf {Y} -\operatorname {E} [\mathbf {Y} ])^{\rm {T}}]=\operatorname {R} _{\mathbf {X} \mathbf {Y} }-\operatorname {E} [\mathbf {X} ]\operatorname {E} [\mathbf {Y} ]^{\rm {T}}}$

Respectively for complex random vectors:

${\displaystyle \operatorname {K} _{\mathbf {Z} \mathbf {W} }=\operatorname {E} [(\mathbf {Z} -\operatorname {E} [\mathbf {Z} ])(\mathbf {W} -\operatorname {E} [\mathbf {W} ])^{\rm {H}}]=\operatorname {R} _{\mathbf {Z} \mathbf {W} }-\operatorname {E} [\mathbf {Z} ]\operatorname {E} [\mathbf {W} ]^{\rm {H}}}$

See also

• Autocorrelation
• Correlation does not imply causation
• Covariance function
• Pearson product-moment correlation coefficient
• Correlation function (astronomy)
• Correlation function (statistical mechanics)
• Correlation function (quantum field theory)
• Mutual information
• Rate distortion theory
• Radial distribution function

References

Further reading

• Hayes, Monson H., Statistical Digital Signal Processing and Modeling, John Wiley & Sons, Inc., 1996. ISBN 0-471-59431-8.
• Solomon W. Golomb, and Guang Gong. Signal design for good correlation: for wireless communication, cryptography, and radar. Cambridge University Press, 2005.
• M. Soltanalian. Signal Design for Active Sensing and Communications. Uppsala Dissertations from the Faculty of Science and Technology (printed by Elanders Sverige AB), 2014.