现代数字信号处理AdvancedDigitalSignalProcessingch2wienerandkalman.pptVIP

Advanced Digital Signal Processing(Modern Digital Signal Processing)Chapter 2 Discrete Wiener Filter and Discrete Kalman Filter 2.1 The Wiener Filtering Problem 2.2 Normal Equations for Wiener Filter Orthogonal Principle The relationship between e(n) and x(n) or in Wiener filter Understanding of the Orthogonal Principle Wiener-Hopf Equation The requirement for the coefficients ho(n) of Wiener filter Wiener-Hopf Equation in z-domain Wiener-Hopf Equation in Frequency-domain Intuitive Interpretation of the Wiener Filter 2.3 Solutions for Wiener Filter Causal FIR Wiener Filter (Solution in Time Domain) Causal FIR filter Wiener-Hopf equation with causal FIR filter Solution of causal FIR Wiener filter Estimation error (MSE) of causal FIR Wiener filter Non-causal IIR Wiener Filter Solution Estimation error (MSE) Causal IIR Wiener Filter Spectral factorization theorem Rational power spectrum signal A random signal whose power spectrum is a rational function of is called a rational power spectrum signal. Spectral factorization theorem A real-valued stationary random sequence with rational power spectrum can be represented by a time series model Whitening filter Causal IIR Wiener filter with a white noise as input Wiener-Hopf equation Solution Causal IIR Wiener filter with a rational power spectrum signal as input Steps to compute the causal IIR Wiener filter Spectral factorization Causal decomposition Compute the causal IIR Wiener filter Impulse response Estimation error (MSE) MSE Comparison of Different Wiener Filter 2.4 Example for Solving Causal IIR Wiener Filter 2.5 Wiener Prediction Introduction Prediction Estimating the s(n+N), N0 based on the observations x(n), x(n-1), …. Basic requirements for prediction The signal to be predictable is correlated with the observations, i.e. the future of the signal is relevant with its past (white noise is completely unpredictable). Wiener prediction