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q and if r,(0),...,r(p — 1) are known, then rs(K) for k > p may be computed recursively using the difference equation rb) =~ Pap rak =D [Note that the Yule-Walker equations also provide a relationship between the filter coeffi cients and the autocorrelation sequence. Thus, Eq. (3.115) may be used to estimate the filter Coefficients, p(k) and b, (k), from the autocorrelation sequence r,(K). However, due to the product A°()b,(k +1) that appears in Eq. (3.114), the Yule-Walker equations are nonlinear in the filter coefficients and solving them for the filter coefficients is, in general, difficult. ‘As we will se in later chapters, the Yule-Walker equations are important in problems such as signal modeling and spectrum estimation. In the next two sections, we look at two special cases of ARMA processes. The first is when q = 0 (autoregressive process), and the second is when p = 0 (moving average process) 3.6.2 Autoregressive Processes A special type of ARMA(p, q) process results when q = 0 in Eq. (3.107), ie, when By(z) = b(0). In this case x(n) is generated by filtering white noise with an all-pole filter of the form (0) TY apthye* ‘An ARMA(p, 0) process is called an autoregressive process of order p and will be referred to as an AR(p) process. From Eq, (3.92) it follows that if Py(z) = 92, then the power spectrum of x(n) is HG) = @u7 Loco? AplavAR(I/Z*) Pia) G.118) The unit simple response i(k) may be compured if he ier cetiiensap(k) and b (4) ae known,112 __ DISCRETE-TIME RANDOM PROCESSES or, in terms of the frequency variable «, 12(0)I *|Aptep Pele!” G.119) ‘Thus, the power spectrum of an AR(p) process contains 2p poles and no zeros (except those located at z = 0 and z = 00). The Yule-Walker equations for an AR(p) process ‘may be found from Eq. (3.115) by setting q = 0. With ¢o(0) = b(0)h" (0) = |b(0)|* these equations are 2 Fe) + Yap (Dre(k = 2) = 97 |BO)PSK) 5 kZ0 G.120) ‘which, in matrix form become (0) ry(=1) r(—p) 1 1 rl) r(0) re(—p +1) |] apt) 0 : =02[b0)F ge. rp ply 10) a,(p) 0 Note that since the Yale-Walker equations are linear inthe coefficients cip(k), its a simple matter to find the coefficients ap(k) from the autocorrelation sequence (k). For example, suppose that we are given the first two autocorrelation values ofa real-valued AR(1) process. ‘Assuming that 0? = 1, using the property that r<() = re(—K) for real processes the Yule- ‘Walker equations for k = 0, 1 areas follows: 10) + re(Da(l) = B70) r@al) = ~re(1) From the second equation, we find for a(1) r() a(t 7.0 and, from the first equation, we may solve for 6(0), 2@ -Ray 1.0) +r(Da() = FORO (0) + rea) = = Expressed in terms of r,(0) and r,(1), a first-order filter that generates an AR(1) process with the given autocorrelation values is PO) /re(0)[r2(0) = r2(1)] 70) = Fete Ina similar fashion, we may use the Yule-Walker equations to generate the autocorrelation sequence from a given set of filter coefficients. For example, again letx(n) be a first-order autoregressive process. Writing the first two Yule-Walker equations in matrix form in terms of the unknowns r, (0) and rg(1) we have [> PRL?) HQ),SPECIAL TYPES OF RANDOM PROCESSES. Solving for r,(0) and r,(1) we find BO 10 O = aD PO) re{1) = —a(1)r,(0) = ~at (1) = arn) = aa Now observe from Eq, (3.120) that for all k > 0 alk) = -a(lrn(k =D). Therefore, the autocorrelation sequence for k > O may be written as PO) ee r= ya) kB 0 Finally using the symmetry of r(k) gives ny 3.122) We now look at specific examples of AR(1) and AR(2) processes. Example 3.6.2 AR(J) and AR(2) Random Processes ‘Consider the real AR(1) process that is formed by filtering unit variance white noise with the first-order all-pole filter 20) =a where 6(0) and a(1) are real-valued coefficients. The power spectral density of this process HO= PO) 0) 20 = Tae awe] He ae or, in terms of Fourier transforms, a #0) . ) OY = Tae [late] ~ TeX) = 2atlyeoso ‘The power spectrum of this process is shown in Fig. 3.12a for a(1) = 0.5, 0.75, and 0.9 with b(0) chosen so that the peak at « = 0 is equal to one. Note that the power in x(n) is concentrated in the low frequencies and, as a result, x(n) is referred to as a low-pass process. Also note that as the pole moves closer to the unit circle the process bandwidth decreases. Now consider what happens if a(1) < 0. The power spectrum in this case is shown in Fig. 3.12b for a(1) = —0.5, —0.75, and ~0.9 with the value of 6(0) again chosen so that the peak at «= 7 is equal to one. Since the power in x(n) is now concentrated in the high frequencies, x(n) is referred to as a high-pass process. Now consider the AR(2) process that is generated by filtering white noise with the second-order filter H@ = b(O) [ee Tf ete}4__ DISCRETE-TIME RANDOM PROCESSES 04) Power Spectrum or 06 08 1 Frequency (units of pi) (2) The power spectrum ofa low-pass AR(I) random process witha pole at z (Goldline), pole at 2 = 0.75 (dashed line) anda pole at z = 0.9 (dotted line). 07} 2 Power Spectrum 0. 0a} 02| on 02 or 06 OB 1 Frequency (units of pi) (6) The power spectrum fora high-pass AR(I) random proces, pole at z = —0.5 (solid line), ple at: = ~0.75 (dashed line), and ole at = ~019 (dotted line). Figure 3.12 The power spectrum of first-order autoregressive processes. In ‘cach case, the numerator coefcient b(0), is chosen so that the power spectrum is normalized to one at = 0.seca res oF ranoom processes 115 With a(1) = re!* and a» = 1/2, the power spectrum is shown in Fig. 3.13 for r = 0.5, 0.75, and 0.9 with the value of 5(0) chosen so that the peak value of the power spectrum is equal to one, Note that the power in x(1) is now concentrated within a band Of frequencies centered around «» and that as the pole moves closer to the unit circle the process bandwidth decreases. A process of this form is referred to as a bandpass process. 3.6.3. Moving Average Processes ‘Another special case of ARMA(p, q) process results when p = 0. With p = 0, x(n) is generated by filtering white noise with an FIR filter that has a system function ofthe form HQ) = 7b, (bz* BS ie, Ap(2) = | in Bq, (3.107). An ARMA(O, q) process is known as a moving average process of order q and will be referred to as an MA(q) process. From Eq. (3.92) note that if P,(z) = 03, then the power spectrum is Paz) = 03 Bl) BSA/2") 3.123) oa 05 Frequency (units ofp) Figure 3.13 The power spectrum of an AR(2) random process where the filter eneratng the process has a complex pole pair at = re*™ where ty = 7/2 and r = 0.5 (solid line), r = 0.75 (dashed line), and r = 0.9 (dashdot line). The numerator b(0) is chosen 80 thatthe peak value ofthe power spectrum it normalized to on.| __DISCRETE-TME RANDOM PROCESSES P,(e!*) = 02 |By(e!*)| (3.124) Therefore, P: (2) contains 2g zeros and no poles (except those that lie atz = Oand z = 00). ‘The Yule-Walker equations for an MA(q) process may be found by simply taking the inverse transform of Eq. (3.123). Alternatively, they may be found from Eq. (3.115) by setting 44,(&) = 0 and noting that since h(n) = b(n), then or, in terms of «, et eqk) = Db, +O In either case we have =i doll + (kDESO) rh) = ob (k) * B3(—K) G.125) Where we have used the absolute value on k so that the expression for r,(k) is valid for all k. Thus, we see that the autocorrelation sequence of an MA(q) process is equal to zero forall values of k that lie outside the interval |g, q]. In addition, note that r-(k) depends nonlinearly on the moving average parameters, by(k). For example, for q = 2 1<(0) = [bP + BCP + [QP rel) = B°ObA) + 6°62) 742) = BYObQ) 6.126, ‘Therefore, unlike the case for an autoregressive process, estimating the moving average parameters for a moving average process is a nontrivial problem. Moving average processes are characterized by slowly changing functions of frequency that will have sharp nulls in the spectrum if P,(z) contains zeros that are close to the unit circle. The following example provides an illustration of this behavior for an MA(4) process. Example 3.6.3 An MA(4) Process ‘Shown in Fig. 3.14 is the power spectrum of an MA(4) process that is generated by filtering white noise witha filter having a pair of complex zeros at z = e*!*/? and a pair of complex zeros at z = 0.8e*i°*/*, Thus, the autocorrelation sequence is equal to zero for |k| > 4. Due to the zeros on the unit circle, the power spectrum goes to zero at « = 4/2. In addition, due to the zeros at a radius of 0.8 there is an additional null in the spectrum close 3.6.4 Harmonic Processes Harmonic processes provide useful representations for random processes that arise in ap- plications such as array processing, when the signals contain periodic components. An ‘example of a wide sense stationary harmonic process is the random phase sinusoid x(n) = Asin(na +4)SPECIAL TYPES OF RANDOM PROCESSES Power Spectrum 0 02 04 06 08 A Frequency (units of pi) Figure 3.14 The power spectrum of an MA(4) process having zeros at z tee and oe OBE, where A and wy are constants and ¢ is a random variable that is uniformly distributed between — and z. As shown in Example 3.3.1, the autocorrelation sequence of x(n) is Periodic with frequency 2, relly = $4? cos(kon) @.127) ‘Therefore, the power spectrum is Pel) FA? [oto on) + uote +a] where uo(© ~ on) isan impulse at frequency a and uo(o + ap) is an impulse at ~ay, IF the amplitude is also a random variable that is uncorrelated with @, then the autocorrelation sequence willbe the same as Eq. (3.127) with A? replaced with E (42) re(k) = HE {42} costkon) Higher-order harmonic processes may be formed from a sum of random phase sinusoids as follows: x(n) = J> Ay sin(na +41) fet ‘Assuming the random variables and A, are uncorrelated, the autocorrelation sequence is relk) = 0 SE{A?] cos(kan)