# Correlation and Covariance of Random Discrete Signals

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Correlation and covariance can be used to analyze the relationship between signals. They can give information on the characteristics of a system and how it behaves.

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Contributed by: Daniel de Souza Carvalho (March 2011)

Open content licensed under CC BY-NC-SA

## Snapshots

## Details

= sample of the random signal

= sample of the random signal

= mean value of

= mean value of

= mean value of times

= expected value of

= covariance

= correlation coefficient

M. Haag. "Correlation and Covariance of a Random Signal." Connexions. (July 18, 2005) http://cnx.org/content/m10673/2.3.

P. Z. Peebles, Jr., *Probability, Random Variables, and Random Signal Principles*, 4th ed., New York: McGraw-Hill, 2000.

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