aspcore.correlation.corr_matrix_from_autocorrelation

aspcore.correlation.corr_matrix_from_autocorrelation(corr)

The correlation is of shape (num_channels, num_channels, max_lag) corr[i,j,k] = E[x_i(n)x_j(n-k)], for k = 0,…,max_lag-1 That means corr[i,j,k] == corr[j,i,-k]

The output is a correlation matrix of shape (num_channels*max_lag, num_channels*max_lag) Each block R_ij is defined as [r_ij(0) … r_ij(max_lag-1) ] [ ] [r_ij(-max_lag+1) … r_ij(0) ]

which is part of the full matrix as [R_11 … R_1M ] [ ] [R_M1 … R_MM ]

So that the full R = E[X(n) X^T(n)], where X(n) = [X^T_1(n), … , X^T_M]^T and X_i = [x_i(n), …, x_i(n-max_lag)]^T