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, each containing random elements whose expected value and variance exist, the cross-correlation matrix is defined by

. Written component-wise:

need not have the same dimension, and either might be a scalar value.

Example

.

Complex random vectors

are complex random vectors is defined by

denotes Hermitian transposition.

Uncorrelatedness

are called uncorrelated if

matrix is zero.

In the case of two complex random vectors they are called uncorrelated if

and

Properties

Relation to the cross-covariance matrix

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

1. Respectively for complex random vectors:

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. .

• 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.