Correlation Analysis

  • Eugen Skudrzyk


Frequently variables are of a statistical nature, such as the force produced by the wind or the force on the walls of a moving vehicle caused by the turbulence in its boundary layer. Such functions are not absolutely integrable, and standard Fourier analysis cannot be applied to them. We could restrict our observations to finite intervals and repeat them periodically. If the interval is sufficiently long, the periodically repeated curve would give detailed information that would be typical for the phenomenon itself; however, the exact time pattern of a statistical function is never fully known—nor would we care to know it. We are usually satisfied with the knowledge of certain average properties of statistically varying quantities, such as the mean values, the maxima, the minima, and the mean-square. To compute these averages, standard Fourier analysis would be unnecessarily cumbersome because it includes an analysis of the phases of the harmonic constituents, which are of practically no significance in statistical studies.


Correlation Function Power Spectrum Autocorrelation Function Time Function Spectral Amplitude 
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Copyright information

© Springer-Verlag/Wien 1971

Authors and Affiliations

  • Eugen Skudrzyk
    • 1
  1. 1.Ordnance Research Laboratory and Physics DepartmentThe Pennsylvania State UniversityUniversity ParkUSA

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