Summary of lecture 4

Signal models

TSRT78 Digital Signal Processing Lecture 5

Signal in noise problem: u (t ) = s (t ) + n(t ). Remove noise n(t ) from

the observed signal

II

Frequency selective lters: Amplies/attenuates frequencies in order

to supress noise.

Karl Granstrm

III

Division of Automatic Control

Department of Electrical Engineering
Linkping University
E-mail: karl@isy.liu.se
Phone: 281333
Oce: House B, entrance 25/27

Stability and causality: Poles inside/outside the unit circle 6 stable

and causal/anti-causal lter.

IV
V
VI

Linear phase lter: Time delay is same for all frequencies.

Zero phase lter: No time delay. Non-causal, only used o-line.
Spectral factorization: Any stationary s.p. y (t ) can be realized by
ltering white noise

e (t ) with variance  through a lter H (q ),




yy (! ) =  H (e i ! )

2013

K. Granstrm (LiU)

u (t ) to obtain information about s (t ).

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Outline Lecture 5

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Signal modelling

We have seen that stationary s.p can be represented by

realizations,

covariance functions,

spectra.

Any stationary s.p.

y (t ) can be represented as
y (t ) = T (q )u (t )

All three are of about the same complexity. In this lecture we introduce

signal models,

which is a more compact representation.

where

T (q ) is a lter and u (t ) is white noise input signal.

Super formula in spectral domain gives




yy (! ) = T

I Standard signal sources

II AR, ARMA and state space models




III Converting transfer functions to

1
2
3

spectrum
covariance function
state space model

ei!

2



uu (! ) = T

ei!

2



The lter shapes the spectrum, the input injects energy.



u (t ) have the property that yy (!) = T e i !


used to shape the waveform y (t ).
Many

2



.

This can be

IV Prediction using signal models

K. Granstrm (LiU)

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K. Granstrm (LiU)

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Standard signal sources

A signal

such that

yy (! ) =

T ei


! 2


,

Ey

Standard signal sources: examples

= N .

Recordings of s, b and m sound.

0.08

White noise. Most common source, often Gaussian distributed

0.03
0.03

0.04

u (t ) = N  (t ) =

m sound

b sound

s sound

0.02

Ex: Measurement noise, non-voiced sounds like f, v, s.

Pulse

0.02

0.02

0.01

0.01

0.01

0.02

0.02

0.01

0.03
0.04

N t = 0
0
t T= 0

0.02
0.04

0.06

0.05
1.01

1.02

1.03

1.04

1.05

1.06

1.07

1.08

0.03

1.09

3.15

3.2

Time [s]

Same lter

Ex: disturbances in a control systems, explosive/implosive sounds like

3.25

3.3

3.35

2.01

2.02

2.03

2.04

Time [s]

2.05

2.06

2.07

2.08

2.09

Time [s]

T (q ) for inputs white noise, pulse and pulse train.

0.8

0.8
2

b, d, k, t.

0.6

0.6
1.5

0.4

u (t ) = P 

P
X

k =0

 (t

kP )

nP =

N
P

0.4

Input: Pulse train

Pulse train (note dierence with book)

Input: White noise

0.04

0.04

u (t ) $ x (0; )

0.05

0.06

Input: Pulse

y (t ) of length N

0.2

0.5

0.5

0.4

0.4

1
0

0.1

0.2

0.3

0.4

0.5

0.01

0.02

0.03

0.6

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State-space models: motivation

K. Granstrm (LiU)

0.04

0.05

0.06

0.07

0.6
0.08

0.08

Time [s]

Time [s]

Ex: voiced sounds like m, n, l.

Digital Signal Processing, Lecture 5

0.2

0.2

0.6

K. Granstrm (LiU)

0.2

0.09

0.1

0.11

0.12

0.13

0.14

0.15

Time [s]

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Conversion example: AR to state-space

We have an AR model

y (t ) + a1 y (t 1) + : : : + an y (t n) = e (t )

There are many good reasons for using state-space models in signal
processing, e.g.:
1

Typical product of physical model building, i.e. easy to construct and

Letting the state vector be

2

interpret the models.

2
3
4

Powerful represenation for analysis of the system properties.

x (t + 1) =

Used in the Kalman lter

Very general model (multivariable, time varying, etc)

a1 a2

6
6 1
6
6 0
6
6 .
.
4 .
h

x (t ) = [y (t 1) : : : y (t n)]T

0
1

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K. Granstrm (LiU)

an1 an
0
0

.
.
.

..

.
.
.

:::

y (t ) = a1 a2

K. Granstrm (LiU)

:::
:::
:::

:::

results in

2 3

7
0 7
7
0 7
7
. 7
. 5
.

6 7
607
6 7
607
6 7
6.7
.
4.5

x (t ) +

e (t )

an1 an x (t ) + e (t )

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Conversion example: ARMA to state-space (I/II)

Conversion example: ARMA to state-space (II/II)

Using the relationships

We have an ARMA model,

y (t ) + a1 y (t 1) + : : : + an y (t n) = e (t ) + c1 e (t 1) + : : : + cm e (t m)
Let

xi (t + 1) = qxi (t ) = q

m = n (if not, just add zero coecients),

+ c1 q 1 + : : : + cn q n
(c1 a1 )q 1 + : : : + (cn an )q n
T (q ) =
=1+
1 + a1 q 1 + : : : + an q n
1 + a1 q 1 + : : : + an q n
n
X
q k
=1+
(ck ak )
1 + : : : + an q n
k =1
1

and

q k x1 (t ) = x1+k (t ) we get
2

x (t + 1 ) =

q 1

e (t ) ;
1 + : : : + an q n

K. Granstrm (LiU)

::: ;

xn (t ) =

q n

+ : : : + an q n

Digital Signal Processing, Lecture 5

2 3

6 7
607
6 7
607
6 7
6.7
.
4.5

0 7

0 7
.
.
.
0

.
.
.

..

.
.
.

:::

:::

7
7
7
5

x (t ) +

e (t )

cn an x (t ) + e (t )

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K. Granstrm (LiU)

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Prediction for transfer function models

converts a transfer function

T (q ) to a state-space model

We have

T (q ) = C (qI A)1 B + D

or

We can always make a variable change

T (z ) = C (zI A)1 B + D

x (t ) = Px (t ), P

y (t + k ) = T (q )e (t + k ) on impulse response form,

y (t + k ) =

converts a state-space model to a transfer function model

invertible.

This gives a dierent state space represenation

i =0

t (i )e (t + k i ) =

k 1
X
i =0

t (i )e (t + k i ) +

i =k

t (i )e (t + k i )

Replace unknown signal values with zero in predictor

y (t + k jt ) =

i =k

t (i )e (t + k i ) =

j =0

t (j + k )e (t j ) = Tk (q )e (t )

y (t ) = T (q )e (t ) D e (t ) = T 1 (q )y (t ), and thus the predictor is

x (t + 1) = PAP 1 x (t ) + PBe (t )
1 x (t ) + De (t )
y (t ) = CP
but the same

an1 an

Note that the AR model is just a special case of the above.

x (t + 1) = Ax (t ) + Be (t )
y (t ) = Cx (t ) + De (t )
ss2tf

:::
:::
:::

y (t ) = c1 a1 c2 a2

e (t )

Conversion: Matlab

tf2ss

a1 a2

6
6 1
6
6 0
6
6 .
.
4 .

and introduce the state variables

x1 (t ) =

q i
q (i 1)
e (t ) =
e (t ) = xi 1 (t )
A(q )
A( q )

y (t + k jt ) = Tk (q )T 1 (q )y (t )

T (q ).

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K. Granstrm (LiU)

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Summary of Lecture 5





Signal model: A lter T (q ) and a signal source u (t ).

Signal modelling: The problem of nding the lter and source that
makes the modeled signal as close to the true signal as possible.

ARMA model: Auto-Regressive Moving Average signal model,

y (t ) +

k =1

ak y (t k ) = e (t ) +

`=1

c` e (t `)

State space model: A general and powerful way to model signals.

Innovation form,

x (t + 1) = Ax (t ) + Be (t )
y (t ) = Cx (t ) + De (t )

 k -step prediction: Based on information about signal up to time t ,

use model to compute best prediction of signal value at time

y (t + k jt )
K. Granstrm (LiU)

Digital Signal Processing, Lecture 5

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