Tuesday, 9 February 2016

statistics - Autocorrelation of noise - negative correlation


I am investigating autocorrelation of electrical noise as part of an undergraduate experiment (as detailed in http://physlab.lums.edu.pk/images/a/ab/Correlation.pdf). I sampled noise voltages using an 8-bit AtoD from a noise generator (whose description was not provided). I first sampled the noise directly, then I sampled it after passing it through a low-pass filter. I imported the data into MATLAB and used the autocorr function to autocorrelate it. The no-filter data autocorrelated as expected, being just 1 at t=0 (as in Fig 1 in paper); however, the filtered data decays initially as expected but then dips below 0 before coming back up and staying around 0 as in the image below. Negative autocorrelation



My three issues are:




  1. I am not really sure what this means physically (is the correlation 'direction' changed so-to-speak?),




  2. Why might this be occurring? I know that a description of the noise generator may be important here but I do not have that information myself.




  3. Is there any way to correct this issue, and if not, what would be the best compromise?





EDIT:


Here are snapshots of the noise without and with the filter (RC=0.5ms) respectively: Noise without filter Noise after going through RC=0.5ms low-pass filter




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