Beruflich Dokumente
Kultur Dokumente
rx (k ) a p (l )rx (k l ) 0
; k 1,2,..., p
Modeling Error
l 1
p rx (0) a p (l )rx (l )
l 1
0
*
a
(
1
)
r
(
1
)
r
(
0
)
r
(
p
1
)
p
x
x
x
a
(
p
)
rx (0) p
rx ( p) rx ( p 1)
0
Matrix notation
R xa p pu1
Approach
Using induction method
We would like to solve for
R j 1a j 1 j 1u1
The induction
Initial condition
a0 (0) 1
0 (0) rx (0)
lets form
R j 1
where
Rj
rxH ( j 1)
rx (0)
rx ( j 1)
Rj
rxH ( j 1) a j j u1
rx (0) 0 j
rx ( j 1)
j
j rx ( j 1) a j (i)rx ( j 1 i)
i 1
a *
rx (0) j j
rx ( j 1)
*
0
a j (1)
0
a j ( j )
R j 1 j 1 j 1
*
0
a j ( j )
0
a j (1)
1 j
0
j
Reflection Coefficient
j
j 1 *
j
R j 1a j 1 j 1u1
1
0
a (1)
a * ( j )
j
j
a j 1 j 1
*
a
(
j
)
j
a j (1)
0
1
j 1 j j (1 j 1 )
*
j 1 j
Matlab Demos
Example
Example
Lattice Filter
Discussion
Property 1. The reflection coefficients
that are generated by the LevinsonDurbin recursion to solve the
autocorrelation normal equations are
bounded by one in magnitude,
j 1
Rp
Discussion(continued)
The unit magnitude constraint on the
reflection coefficients j and the
nonnegativivity of the sequence j are
tied to the positive definiteness of the
matix R p