signals.correlation

Correlation analysis and time-delay estimation.

Auto- and cross-correlation estimators with the three standard normalizations, generalized cross-correlation (GCC) time-delay estimation with the Knapp & Carter weightings, and sub-sample delay location for impulse responses, following Bendat & Piersol, Random Data: Analysis and Measurement Procedures (4th ed., 2010) and Knapp & Carter (1976):

• correlation estimates computed via FFT with zero padding so the circular product never wraps (B&P Section 11.4.2, Eq. 11.95), with the $1/N$ biased, $1/(N-r)$ unbiased (Eq. 11.96) and coefficient ${\rho }_{xy}(\tau )=C_{xy}(\tau )/({\sigma }_x{\sigma }_y)$ (Eq. 5.16) normalizations, plus the large-T normalized random error of the estimate for bandwidth-limited Gaussian data, $\epsilon [{\hat{R}}_{xy}(\tau )]=[1+{\rho }_{xy}^{-2}(\tau ){]}^{1/2}/\sqrt{2BT}$ (Eqs. 8.109/8.112), exposed as correlation_random_error;
• time-delay estimation: the peak of the cross-correlation locates the delay of a common signal between two sensors (B&P Section 5.1.4, Eq. 5.21). time_delay implements the direct correlator, the weighted-phase-slope estimator of the cross-spectrum (Eq. 5.101b) and the generalized cross-correlation of Knapp & Carter (1976): the averaged cross-spectrum is weighted by $\psi (f)$ before the inverse transform, with the Table I processors 'roth' ($1/G_{xx}$), 'scot' ($1/\sqrt{G_{xx}{G}_{yy}}$), 'phat' ($1/|G_{xy}|$) and the maximum-likelihood 'ml' (Hannan-Thomson) weighting $|\gamma {|}^2/(|G_{xy}|(1-|\gamma {|}^2))$ that attains the Cramér-Rao bound;
• sub-sample peak location by three-point parabolic interpolation, optionally after band-limited local upsampling of the correlation around its peak, and the peak-location uncertainty of the delay estimate, $\sigma ({\hat{\tau }}_0)\approx (3/4{)}^{1/4}\sqrt{\epsilon }/(\pi B)$ (Eq. 8.129), with the 95 % interval ${\hat{\tau }}_0\pm 2\sigma$ (Eq. 8.130);
• impulse-response utilities: the sub-sample arrival time of a single IR (its peak is the cross-correlation with an ideal impulse) and the alignment of an IR pair by the estimated delay, applied as an exact fractional shift in the frequency domain.

The GCC estimators run on the same Welch core (segmentation, tapering, overlap policy) as phonometry.signals.spectra, so a GCC and a cross-spectral density computed with the same segment length are mutually consistent bin by bin.

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align_impulse_responses

align_impulse_responses(
    ir: NDArray[np.float64] | list[float],
    reference: NDArray[np.float64] | list[float],
    fs: float,
    *,
    interpolation: _Interpolation = 'parabolic',
    upsample: int = 8,
) -> AlignedImpulseResponseResult

Align an impulse response onto a reference by its estimated delay.

Estimates the sub-sample delay of ir relative to reference (impulse_response_delay) and removes it with an exact band-limited fractional shift (frequency-domain phase ramp over a zero-padded record). Use it to average IR ensembles or to compare measurements taken at slightly different distances.

Parameters

Name	Description
ir	Impulse response to align, 1-D.
reference	Reference impulse response, same length.
fs	Sample rate, in Hz.
interpolation	'parabolic' (default) or 'none'.
upsample	Integer local-upsampling factor (default 8).

Returns: An AlignedImpulseResponseResult.

Raises

Exception	When
ValueError	If the inputs or parameters are invalid.

AlignedImpulseResponseResult

AlignedImpulseResponseResult(
    aligned: NDArray[np.float64],
    reference: NDArray[np.float64],
    delay: float,
    delay_samples: float,
    fs: float,
)

An impulse response aligned onto a reference.

Attributes

Name	Description
aligned	The input IR advanced by the estimated delay (exact fractional shift applied as a frequency-domain phase ramp over a zero-padded record, so nothing wraps around).
reference	The reference IR.
delay	Estimated delay removed from the IR, in seconds.
delay_samples	The same delay in (fractional) samples.
fs	Sample rate, in Hz.

AlignedImpulseResponseResult.plot()

AlignedImpulseResponseResult.plot(
    ax: Axes | None = None,
    *,
    language: str = 'en',
    **kwargs: Any,
) -> Axes

Plot the reference and the aligned impulse response.

Parameters

Name	Description
language	Label language, "en" (default) or "es".

correlation

correlation(
    x: NDArray[np.float64] | list[float],
    y: NDArray[np.float64] | list[float] | None = None,
    fs: float = 1.0,
    *,
    normalization: _Normalization = 'unbiased',
    max_lag: float | None = None,
) -> CorrelationResult

Auto- or cross-correlation estimate with a chosen normalization.

Computed via zero-padded FFT so the circular product never wraps (B&P Section 11.4.2). y=None gives the autocorrelation of x. The sign convention follows B&P Eq. 5.19-5.20: with $y(t)=\alpha x(t-{\tau }_0)+n(t)$ the estimate peaks at $\tau =+{\tau }_0$.

Normalizations:

• 'biased' - the raw lag sums divided by N; tapers toward the record ends and stays bounded by $[{\hat{R}}_{xx}(0){\hat{R}}_{yy}(0){]}^{1/2}$;
• 'unbiased' - divided by $N-|r|$ (Eq. 11.96), an unbiased estimate of $R_{xy}(\tau )$ whose variance grows toward the ends;
• 'coefficient' - the correlation coefficient function ${\hat{\rho }}_{xy}(\tau )={\hat{C}}_{xy}(\tau )/({\sigma }_x{\sigma }_y)\in [-1,1]$ over the mean-removed records (Eq. 5.16).

Parameters

Name	Description
x	First signal, 1-D.
y	Second signal, same length, or None for autocorrelation.
fs	Sample rate, in Hz.
normalization	See above (default 'unbiased').
max_lag	Largest lag magnitude to keep, in seconds (default: the full N-1 samples).

Returns: A CorrelationResult.

Raises

Exception	When
ValueError	If the inputs or parameters are invalid.

correlation_random_error

correlation_random_error(
    coefficient: float,
    signal_bandwidth: float,
    duration: float,
) -> float

Normalized random error of a correlation estimate.

B&P Eqs. 8.109/8.112: $\epsilon [{\hat{R}}_{xy}(\tau )]=[1+{\rho }_{xy}^{-2}(\tau ){]}^{1/2}/\sqrt{2BT}$ for bandwidth-limited Gaussian data of bandwidth B observed for T seconds, with ${\rho }_{xy}(\tau )$ the correlation coefficient at the lag of interest. At the zero lag of an autocorrelation ($\rho =1$) this is $1/\sqrt{BT}$ (Eq. 8.111). Valid for $T\ge 10|\tau |$ and $BT\ge 5$ (Section 8.4.1).

For the two-detector time-delay problem $x=s+m$, $y=s^{\prime }+n$ (Section 8.4.2) the peak coefficient is $\rho =S/\sqrt{(S+M)(S+N)}$, which reproduces the book’s Example 8.5: $B=100$ Hz, $T=5$ s, $M/S=N/S=10$ give $\epsilon \approx 0.35$.

Parameters

Name	Description
coefficient	Correlation coefficient ${\rho }_{xy}(\tau )$ at the lag.
signal_bandwidth	Signal bandwidth B, in Hz.
duration	Record length T, in seconds.

Returns: Normalized random error (dimensionless; inf at $\rho =0$).

Raises

Exception	When
ValueError	If the bandwidth or duration is not positive, or the coefficient is outside [-1, 1].

CorrelationResult

CorrelationResult(
    lags: NDArray[np.float64],
    values: NDArray[np.float64],
    coefficient: NDArray[np.float64],
    normalization: str,
    kind: str,
    fs: float,
    n_samples: int,
    duration: float,
)

Auto- or cross-correlation estimate (B&P Sections 5.1, 8.4, 11.4).

Attributes

Name	Description
lags	Lag axis $\tau$, in seconds, symmetric about zero. Positive lag means the second signal is delayed relative to the first (${\hat{R}}_{xy}(\tau )\sim E[x(t)y(t+\tau )]$, B&P Eq. 5.19-5.20 convention).
values	Correlation estimate on lags with the requested normalization.
coefficient	Correlation coefficient function ${\hat{\rho }}_{xy}(\tau )\in [-1,1]$ on the same lags (Eq. 5.16; equals values when normalization='coefficient').
normalization	'biased' ($1/N$), 'unbiased' ($1/(N-|r|)$, Eq. 11.96) or 'coefficient'.
kind	'autocorrelation' or 'cross-correlation'.
fs	Sample rate, in Hz.
n_samples	Record length N, in samples.
duration	Record length $T=N/f_{\mathrm{s}}$, in seconds.

CorrelationResult.plot()

CorrelationResult.plot(
    ax: Axes | None = None,
    *,
    language: str = 'en',
    **kwargs: Any,
) -> Axes

Plot the correlation estimate against the lag in seconds.

Parameters

Name	Description
language	Label language, "en" (default) or "es".

CorrelationResult.random_error()

CorrelationResult.random_error(
    signal_bandwidth: float,
) -> NDArray[np.float64]

Normalized random error of the estimate at each lag.

For bandwidth-limited Gaussian data of bandwidth B and record length T (B&P Eqs. 8.109 and 8.112, identical in form for the cross- and autocorrelation, with the measured coefficient in place of the true value):

$$\epsilon [{\hat{R}}_{xy}(\tau )]=\frac{[1+{\rho }_{xy}^{-2}(\tau ){]}^{1/2}}{\sqrt{2BT}}$$

so $\epsilon [{\hat{R}}_{xx}(0)]=1/\sqrt{BT}$ (Eq. 8.111). The large-T approximation behind it assumes $T\ge 10|\tau |$ and $BT\ge 5$ (Section 8.4.1). Lags where the measured coefficient is zero return inf.

Parameters

Name	Description
signal_bandwidth	Signal bandwidth B, in Hz.

Returns: Normalized random error per lag (dimensionless).

Raises

Exception	When
ValueError	If the bandwidth is not positive.

impulse_response_delay

impulse_response_delay(
    ir: NDArray[np.float64] | list[float],
    fs: float,
    *,
    reference: NDArray[np.float64] | list[float] | None = None,
    interpolation: _Interpolation = 'parabolic',
    upsample: int = 8,
) -> float

Sub-sample delay of an impulse response, in seconds.

Without a reference, the arrival time of the IR itself: the cross-correlation of an IR with an ideal unit impulse is the IR, so its peak magnitude location - refined to sub-sample resolution by band-limited local upsampling plus parabolic interpolation - is the delay relative to $t=0$. With a reference IR, the delay of ir relative to it, from the peak of their full-record cross-correlation with the same refinement (one-shot transients are not stationary records, so the direct correlator is used rather than the Welch-averaged GCC).

Sub-sample accuracy presumes the IR is band-limited below Nyquist; the synthetic fractional-delay tests pin the achievable accuracy (about 1e-3 samples for a $0.4f_{\mathrm{s}}$ band-limited pulse at the default upsample=8).

Parameters

Name	Description
ir	Impulse response, 1-D.
fs	Sample rate, in Hz.
reference	Optional reference IR (same length) the delay is measured against.
interpolation	'parabolic' (default) or 'none'.
upsample	Integer local-upsampling factor (default 8).

Returns: Delay in seconds (relative to $t=0$ or to reference).

Raises

Exception	When
ValueError	If the inputs or parameters are invalid.

time_delay

time_delay(
    x: NDArray[np.float64] | list[float],
    y: NDArray[np.float64] | list[float],
    fs: float,
    *,
    method: _Method = 'gcc',
    weighting: _Weighting = 'phat',
    window: str = 'hann',
    nperseg: int | None = None,
    overlap: float = 0.5,
    max_delay: float | None = None,
    interpolation: _Interpolation = 'parabolic',
    upsample: int = 1,
    signal_bandwidth: float | None = None,
) -> TimeDelayResult

Time delay of y relative to x (TDE).

Three estimators of the delay ${\tau }_0$ in the two-sensor model $y(t)=\alpha x(t-{\tau }_0)+n(t)$ (B&P Section 5.1.4):

• 'direct' - the peak of the full-record correlation coefficient function (Eq. 5.21);
• 'gcc' - the peak of the generalized cross-correlation of Knapp & Carter (1976): the Welch-averaged cross-spectrum (shared core with cross_spectral_density) is weighted by $\psi (f)$ before the inverse transform. Weightings (Table I): 'none' (plain correlator), 'roth' ($1/G_{xx}$, suppresses bands where the first sensor is noisy), 'scot' ($1/\sqrt{G_{xx}{G}_{yy}}$, prewhitens both channels), 'phat' ($1/|G_{xy}|$: for uncorrelated noises the ideal GCC is a delta at the delay, but errors are accentuated wherever signal power is small), and 'ml' (Hannan-Thomson, $|\gamma {|}^2/(|G_{xy}|(1-|\gamma {|}^2))$): the maximum-likelihood processor that weights the phase by its coherence-derived reliability and attains the Cramér-Rao bound - provided the coherence estimate is averaged over at least two segments, the discrete form of Knapp & Carter’s $|\gamma {|}^2\ne 1$ existence condition (enforced here). The delay must fit within half a segment; raise nperseg for long delays.
• 'phase' - the $|{\hat{G}}_{xy}|$-weighted least-squares slope of the cross-spectrum phase (Eq. 5.101b); accurate for clean, moderate delays where the unwrapped phase is unambiguous, and independent of any peak interpolation (interpolation/upsample do not apply).

The correlation-peak methods refine the sample peak to sub-sample resolution by three-point parabolic interpolation, optionally after band-limited local upsampling (upsample > 1); this presumes the signals are band-limited below Nyquist so the peak is oversampled. With signal_bandwidth given, the result carries the B&P peak-location uncertainty (Eq. 8.129) and its $\pm 2\sigma$ interval (Eq. 8.130).

Parameters

Name	Description
x	Reference record, 1-D.
y	Delayed record, 1-D, same length.
fs	Sample rate, in Hz.
method	'gcc' (default), 'direct' or 'phase'.
weighting	GCC weighting (default 'phat'; ignored otherwise).
window	Welch taper for 'gcc'/'phase' (default Hann).
nperseg	Welch segment length for 'gcc'/'phase' (None picks the shared default).
overlap	Welch overlap fraction for 'gcc'/'phase'.
max_delay	Largest delay magnitude searched, in seconds.
interpolation	'parabolic' (default) or 'none'.
upsample	Integer local-upsampling factor (default 1: off).
signal_bandwidth	Signal bandwidth B in Hz for the Eq. 8.129 delay uncertainty (None: no error reported).

Returns: A TimeDelayResult.

Raises

Exception	When
ValueError	If the inputs or parameters are invalid.

TimeDelayResult

TimeDelayResult(
    delay: float,
    delay_samples: float,
    method: str,
    weighting: str | None,
    lags: NDArray[np.float64],
    correlation: NDArray[np.float64],
    peak_correlation: float,
    delay_std: float | None,
    delay_interval: tuple[float, float] | None,
    signal_bandwidth: float | None,
    fs: float,
)

Time-delay estimate between two records.

Attributes

Name	Description
delay	Estimated delay ${\hat{\tau }}_0$ of the second record relative to the first, in seconds (positive: y lags x).
delay_samples	The same delay in (fractional) samples.
method	'direct', 'gcc' or 'phase'.
weighting	GCC weighting name (None unless method='gcc').
lags	Lag axis of correlation, in seconds.
correlation	The correlation function whose peak was located: the correlation coefficient ${\hat{\rho }}_{xy}(\tau )$ for 'direct', the weighted GCC ${\hat{R}}_{\psi }(\tau )$ (normalized to unit peak magnitude) for 'gcc', and the unweighted equivalent for 'phase' (whose estimate comes from Eq. 5.101b, not from this curve).
peak_correlation	Plain correlation coefficient ${\hat{\rho }}_{xy}$ at the estimated delay (rounded to the nearest sample) - the quantity entering the B&P error formulas, whatever the method.
delay_std	Standard deviation of the peak-location estimate, $\sigma ({\hat{\tau }}_0)\approx (3/4{)}^{1/4}\sqrt{\epsilon }/(\pi B)$ (Eq. 8.129), in seconds; None unless signal_bandwidth was given.
delay_interval	Approximate 95 % confidence interval ${\hat{\tau }}_0\pm 2\sigma$ (Eq. 8.130), in seconds; None without a bandwidth.
signal_bandwidth	The bandwidth B used for the error, Hz.
fs	Sample rate, in Hz.

TimeDelayResult.plot()

TimeDelayResult.plot(
    ax: Axes | None = None,
    *,
    language: str = 'en',
    **kwargs: Any,
) -> Axes

Plot the correlation function with the estimated delay marked.

Parameters

Name	Description
language	Label language, "en" (default) or "es".