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11

Linear Prediction and Optimum Linear Filters

T h e

arises in th e

m an y

o p tim u m

o f

in

design

o f

filters

design

to

p e rfo rm

fro m

signal

estim a tio n

is

a

p ro b lem

th at

g eo p h ysics, and

p roblem

are

co n strain ed

freq u en tly

o f co m m u n icatio n sy stem s, c o n tro l system s, in

and

a

d iscip lin es.

sta tistical

In

this

ch a p te r

v iew p o in t.

T h e

w e

o th e r

a p p lica tio n s

filter design

tre a t

th e

filters

to

m

b

e

lin e a r

ean -sq u a re

an d

th e

erro r.

o p tim iz a tio n

c r ite rio n

A s

a

co n se q u e n ce ,

o n ly

is

b a se d

th e

o n seco n d -o rd e r

th e

m in im iz a tio n

sta tistics

th e

(a u to c o r­

o f

re

la tio n

and cro ssco rre la tio n

fu n ctio n s) o f a statio n ary p ro cess

a re

req u ired

in

th e

d

eterm in a tio n

o

f

th e

o p tim

u m

filters.

 
 

In clu d ed

in

th is

tre a tm e n t

is

th e

design

o f

o p tim u m

filters

fo r

lin ea r p red ic­

tio n .

L in e a r p red ictio n is

a p articu larly im p o rtan t to p ic in d ig ital sig n al p rocessin g ,

w ith

cessin g ,

ap p lica tio n s in a v ariety

o f

and

n o ise

su p p ressio n

a re a s,

in

su ch

as sp ee ch

sig nal p ro ce ssin g , im ag e p ro ­

o b serv e,

co m m u n icatio n

system s.

A s

sh all

d

e term

in atio n

o f

th

e

o ptim

um

lin e a r filter

fo r p red ictio n

w e re q u ires

th e

so lu tio n

o f

a

set

o

f lin ea r

eq u a tio n s

th at

h av e

so m e

sp ecial

sy m

m etry .

T o

so lv e

th ese

lin ear

eq

u a tio n s,

w e

d e scrib e

tw o

alg orith m s,

th e

in s o n -D u rb in

a lg o rith m

and

the

S

ch u r

alg o rith m

,

w hich

p rov id e

th e

so lu tio n

L e v to

th e

eq u a tio n s

th ro u g h

co m p u ta­

tio

n ally

efficien t p ro ce d u res th a t ex p lo it th e

sy m m etry p ro p e rtie s.

T h e

last

sectio n

o

f

th e

ch a p te r

tre a ts

an

im p o rtan t class

o f

o p tim u m

filters

called W ie n e r

filters.

W ien e r filters

are w idely used

in m any a p p lica tio n s involving

th

e

estim a tio n

o f sig n als co rru p te d

w ith

ad d itive

n o ise.

11.1 INNOVATIONS REPRESENTATION OF A STATIONARY RANDOM PROCESS

In

th is sectio n

w e

d e m o n stra te th a t a w id e-sen se

sta tio n a ry ran d o m

p ro cess can b e

re

p re sen te d

as

th e

o f

a

cau sally

in v ertib le lin e a r sy stem

ex cited

o u tp u t p ro cess.

cau sal and co n d itio n

by

allow s

a

w h ite us to

n oise

e e w id e-sen se sta tio n a ry

T h

th a t

th e

re p re sen t th

sy stem ran d o m

is cau sally

p ro ce ss

b y

in v ertib le

th e

also

o f

o u tp u t

th e

in v erse sy stem , w hich is a

w h ite n o ise p ro cess.

 

852

Sec. 11.1

Innovations Representation of a Stationary Random Process

853

 

L e t

us

co n sid er

a

w id e-sen se

statio n ary

p ro cess

{jc(« )}

w ith

a u to co rrela tio n

s

e q u e n c e

{yxx(m)} an d p o

w

e r

s p e c tra l

d e n sity

r „ ( /

) ,

\ f

\

<

±.

W e

a ssu m e

th a t

!%.<■(/) is re

s e q u e n

a l

a n d

c o

n tin u o u s

fo r

all

|/|

<

j

.

T h e

z -tr a n s fo rm

o f

th e

a

u to

c o r r e la ­

tio n

ce

{yxx(m )}

is

 

^

(

2) =

y

(1 1 .1 .1 )

fro m

w hich w e

o b ta in

th e

p o w er sp ectra l den sity by

ev alu atin g

1 % ,^ )

o n

th e un it

circle

[i.e.

by su b stitu tin g

z =

e x p (y 2 jr/ )].

 
 

N

ow ,

le t

us

assu m e

th a t

lo g

IV , (z)

 

is

a n a ly tic

(p

o ss e ss e s

d e riv a tiv es

o f

all

o

rd e rs)

in

an

a n n u la r reg io n

in

th e

z -p lan e

th

a t in clu d es

th e

un it circle

(i.e .,

n

<

\z\

<

r2

w h ere

n

<

1

a n d

r 2

>

1).

T h

e n ,

l o g r ^ z )

ca n

b e

ex p a n d e d

in

a

L a u re n t

series o f th e

form

 
 

lo g r„ (z) =

y

v(m

)z~

(11.1.2)

w

h ere

th e

(u (m )}

are

th e

co efficie n ts

in

th e series

ex p an sio n .

W e

can

view

{u(m )}

as

th e

seq u en ce

w ith

z-tran sfo rm

V (z )

=

lo g

T „ ( z ) .

E q u iv a len tly , w e can ev alu ate

log T J r (z)

on

th e

unit circle,

 
 

l

o

g

r

„ (

/

) =

J

2

v ( m ) e -J23lfm

 

(1 1 .1 .3 )

so

th a t

th e

{r(m )}

a re

th e

F o

u

rie r

co efficie n

ts

in

th e

F o u

rie r

series

ex p an sio n

o f

th

e

p e rio d ic

fu n ctio n

l o g r ^ ( / ) .

H e n ce

 
 

v(m)

= j

 

[ \ ° g T xx{ f ) ] e j l ”f md f

 

m

=

0

, d b l ------

(1 1 .1 .4 )

W

e

th at

v{m )

=

sin ce

Txl(f)

is

a

real

and

ev en

fu n ctio n

o f

/ .

 

o b serv e F ro m

(1 1 .1 .2 )

it fo llo w

s

th at

 
 

r

^ f z )

=

ex p

 
 

_m=—oc

 

(1 1 .1 .5 )

 

^2

u t -,\

 

w h ere,

by

d efin itio n , a 2

=

exp [i?(0)]

and

 
 

H ( z ) = ex p

T

.

v(m )z~

 

(11.1.6)

If

(1 1 .1 .5 )

is ev alu ated

on

th e

unit

circle , w e hav e

th e

e q u iv a len t

re p

re sen ta tio n o f

th

e

p o w er sp ectra l d en sity

 

as

 
 

r „ ( / )

= <r2\ H ( f ) \ 2

 

(11.1.7)

 

We note that

 
 

log Txx{f)

 

=

lo g a i+

log H(f) +

log //* (/)

 
 

OC

 
 

= y

 

v ( m ) e - j2*fm

 

854

Linear Prediction and Optimum Linear Filters

Chap. 11

F

th e

a

co efficients and th e seq u en ce { u(m )} is called th e

as d efin ed

ro m

F o

th e

u r ie r

d efin itio n

s e rie s

in

o f

H

( z )

( 1 1 .1 .3 )

H ( z ~ l ).

given

by

(1 1 .1 .6 ),

it

w ith

is

H ( z )

cle a r a n d

th a t th

e {v (m )}

th e

ca u sal

part p a rt

o f

is

cep stral

T h

e

is

a s s o c ia te d

F o u r ie r

s e rie s

a n tic a u sa l

a

re

th e

s s o cia te d

w ith

e ffic ie n ts cep stru m

c o

H ( z )

g iven by

(1 1 .1 .6 )

it

h as

a

T a y lo r

series

o f th e seq u en ce {yxx(m )},

is an a ly tic

in

ex p a n sio n

th e

a

as

reg ion

cau sal

>

r\

<

o f

in

1.

th e

S e c tio n

4 .2.7.

T h e filter w ith sy stem

fu n ctio n

th is

reg io n ,

|z|

H e n c e , form

in

sy stem

OC

H ( z )

=

J

2

m=0

h in ) z ~ n

( 1 U

'8)

T h e

p o w er

tra l d e n sity

w ith p o w er sp ectra l d en sity

by

o f

in

o u tp u t

th is

filter

resp on se

to

a

w h ite

ran d o m

n o ise

in p u t

seq u en ce

w ith

with

p o w er sp ec­

|a-(/j)}

p rocess

call

w (n)

sp ectral d en sity

a

2

r xx( f )

=

o 2 \ H

(jc(ti)}

n oise

th ro u g h

is a sta tio n ary

p ro ce ss s ta tio n a r y

in to

a

fu n ctio n

(w (n )}

p ro cess

{ * ( « ) }

( f ) \ 2 . C o n v e rs e ly ,

a

T xx( f )

lin ea r

can

b e

filter

Its

th

e

ra n d o m

w h ite

p ro c e s s

n oise

tra n sfo rm e d

w ith

sy stem

d e n o te d

ra n

d o m

as

passin g

th

is

filter a

1/ H ( z ) .

W e th e T h e se

w h itening filte r.

a sso cia ted

w ith

th e

o u tp u t, statio n ary

is ca lled { * ( « ) } .

in n o ­

tw o

v atio n s p ro ce ss

relatio n sh ip s

a re

illu strated in

F ig.

11.1.

 

T

h e

re p re se n ta tio n

o f

th e

sta tio n a ry

sto ch a stic

p ro cess

{.vfn)}

as

th e

output

o

f

an

I I R

filter

w ith sy stem

fu n ctio n

H ( z )

given

by

(1 1 .1 .8 )

and

ex cited

by

a w hite

n

o ise

seq u e n ce

(u ^ n )}

is ca lle d

th e

W o ld

representation.

 

11.1.1 Rational Power Spectra

L e t

th e

us now

re strict

o u r

a tte n tio n

to

th e

sta tio n a ry

ran d o m

p ro cess

{ * ( « ) )

is

case w h ere

th e

p o w er sp ectra l den sity

a

ratio n al fu n ctio n , ex p resse d

as

o f

r ^ ( z )

B (z )

=

g u,7 7\

a n d

H ( z )

r \ <

\ z

th a t

A { z ) A ( z ~ i )

A (z )

J 7

n

h a v e

w h ere

th e

th e

p o ly n o m ia ls

T h e n

th e

ro o ts

s-p la n e.

lin e a r filter

fo r g en e ra tin g

w(rr)

W hile noise

Linear

causal

filter

H{z)

(a)

x(n) =

Y,

k=0

h(i)w(n -

Jc)

\ <

r

2

fall in s id

th e

e ra n d o m

th e

(1 1 .1 .9 )

u n it

p ro cess

c ircle

in

U (« )}

-r(n)

Linear

causal

filter

VH(z)

w(n)

W hite noise

(b)

Figure 11.1 Filters for generating (a) the random process Jt(n) from white

noise and (b) the inverse filter.

Sec. 11.1

Innovations Representation

of a Stationary Random Process

 

855

fro m

th e

w h ite

n o ise

seq u en ce

{iu (n )}

is also

ratio n al

and

is ex p resse d

as

 

(11.1.10)

w h ere

z ero s

p h ase.

sy

p ro p e rtie s

{bk}

and

an d p o les

[ak}

o f

a re

th e

H ( z ) ,

1 / H { z )

filter

co efficie n ts

T h u s

th a t

H { z )

sta b le ,

d e term in e

is cau sa l,

th e sta b le ,

lo c a tio n

and

o f

m in im um

lin ear

statistical

th e

resp ectiv ely .

also

p ro cess

a

Its

re cip ro ca l

T h e re fo r e ,

o f

th e

th e

th e

lin e a r sy stem

x (n )

r e la te d

is

ran d om

ca u sal,

{;c(n )}

{uj(/i)}, an d

and

m in im u m -p h a se

re p re sen ts

th e

(z) given e q u a tio n

by

stem .

u n iq u ely

in n o v a tio n s p ro ce ss

is

v ice fu n ctio n

v ersa.

H

d iffe re n c e

F o r

o u tp u t

w ith th e ra tio n a l sy stem

to

th e

in p u t

u>(n)

by

th e

(1 1 .1 .1 0 ),

ih e

(1 1 .1 .1 1 )

W e

w ill distin guish

am on g th re e

sp ecific

cases.

 

Autoregressive (AR) process.

b0

=

1.

bk

=

0 ,

k

>

0 .

In

th

is

th

e

lin e a r filte r

H ( z )

=

1/A ( z )

is

an

a ll-p o le

filter an d

th e

d iffe re n c e

ca s e , fo r

e q u a tio n

th e

in

p u t-o u tp u t re la tio n sh ip

is

 

p

 

(11.1.12)

 

k= 1

 

In

tu rn ,

th e

n o ise -w h iten in g

filte r

fo r

g e n e ra tin g

 

th e

in n o v a tio n s

p ro c e s s

is

an

a

ll-z ero

filter.

 
 

Moving average (MA) process.

a k

=

0 ,

k

>

1.

In

th is

c a s e ,

th e

lin e a r filte r

H { z )

=

B { z )

is

an

a ll-z ero

filter and

th e

d iffe re n ce

eq u a tio n

fo r

th e

in p u t-o u tp u t

re

la tio n sh ip

is

 

(1 1 .1 .1 3 )

T

h e

n o ise-w h iten in g

filter fo r th e

M A

p ro cess is an

a ll-p o le

filter.

 

Autoregressive, moving average (ARMA) process.

In

th is

th e

lin ­

e

a r

filter

H

( z )

=

B { z ) /A { z )

has

bo th

fin ite

p o les and

z ero s

th e

c a s e , z-p lan e

and

th e

co

rresp o n d in g

d iffe re n c e

eq u a tio n

is

g iven

by

(1 1 .1 .1 1 ).

in T h e

in v erse

sy stem

fo r

g

en e ratin g th e in n o v atio n

p ro cess fro m

x (n )

is also

a

p

o

le -z e r o

sy stem

o f

th e form

1 / H ( z )

=

A ( z ) /B { z ) .

 

11.1.2 Relationships Between the Filter Parameters and the Autocorrelation Sequence

 

W

h en

th e

p o w

er

sp ectra l

d en sity

o f

th e

sta tio n a ry

ran d o m

p ro ce ss

is

a

ra tio ­

n

al

fu n ctio n ,

th

e re

is

a

b a sic

relatio n sh ip

b e tw e en

th e

a u

to co rre la tio n

seq u en ce

856

Linear Prediction and Optimum Linear Filters

Chap. 11

{XjcjcC"t)} an d th e

p a r a m e te rs

{a *}

an d

{£>*}

o f

th e

lin e a r

filte r

H ( z )

th a t

g e n e ra te s

th

e p ro cess by filterin g th e w

h ite n o ise

se q u e n ce

w (n ).

T h is re la tio n sh ip ca n

be

o b ­

ta

in e d

by m u ltip ly in g th e

d iffe re n c e

e q u a tio n

in

by

x*(n

—m)

an d

talcing

th

e

ex p ecte d

valu e

o f

b o th

sides

o f

th e

resu ltin g

(1 1 .1 .1 1 ) eq u a tio n .

T h u s

w e

have

 

p

 

E [x {n )x * {n

— m )]

=

— ^ f l t £ [ . x ( n

k)x* (n

m )]

 
 

(1 1 .1 .1 4 )

 

■+ ^T^f>i£[u>(n — k)x* (n

— m )]

 

H

en ce

 

p

<?

Yxx( m ) =

~

f t

+

Y

2 btYwx^w

~

f t

( H .1 .1 5 )

 

1=1

i= 0

w

h ere

y

w.r (m)

is

th e

c r o s s -c o rre la tio n

s e q u e n c e

b e tw

e e n

u;(/j)

a n d

x (/i).

 

T

h

e

c ro s s c o rre la tio n

y wx(m ) is re la te d

to

th e filte r im p u lse

re s p o

n s e .

T h a t

is,

 

ywxOn)

=

£ [A *(fi)w («

+

m )]

 

=

E

^

h (k )w * (n

k )w (n

-i- m )

 

(1 1 .1 .1 6 )

=

a l h ( - m

)

w

h ere,

in

th e

la st

ste p ,

w e

h a v e

used

th e

fa c t

th a t

th e

s e q u e n c e

w

(n)

is

w h ite.

H

en ce

I

<

0

B

y

co m b in in g

(1 1 .1 .1 7 )

w ith

(1 1 .1 .1 5 ),

w e

o b ta in

th e

d esired

re latio n sh ip

 
 

p

Y 2 , a tYxx{m k=\

~ k ),

-

 

m

>

q

 

Yxxim) =

P

(1 1 .1 .1 8 )

 

~ ° kYx* (m ~

k ^ +

h tt'lbk+m,

0

< m

< q

k=l

k=0

 

- Yxx

m

<

0

T

h is

rep re sen ts

a

n o n lin ea r

relatio n sh ip

b e tw e en

yJX (m )

and

th e

p a ra m e te rs

{a *},

{**}•

 

T

h e

re la tio n sh ip

in

(1 1 .1 .1 8 )

ap p lies,

in

g

en e ra l, to

th e

A R M

A

p ro cess.

F

o r

an

A R

p ro cess,

(1 1 .1 .1 8 )

sim p lifies to

Yxx(m) =

 

p

~

2

2

akY ™ ( m

~ k ) ,

 

m

>

0

k=i

 
 

p

-

2

2

a k Yx*(m

~

W

+

a l

m

=

0

 

k=i

 

y A (~ m )'

 

m

<

o

(11.1.19)

Sec. 11.2

Forward and Backward Linear Prediction

857

T

h u s

w

e

h a v e

a

lin e a r re la tio n s h ip

b e tw

e e n

yxx (m ) an d

th e

{ a t } p a r a m e te rs .

T

h e s e

eq u a tio n s,

ca lle d

th e

Y

u le -W

a lk e r

eq u atio n s,

can

b e

ex p ressed

in

th e

m

atrix

fo rm

 

~Yxx(0)

y , , ( - 1)

Yxx(~2)

 

Yxx(-P)

-

1 -

 

y «(l)

K™(0)

YxA ~ l)

Yxx(~P + l)

a\

=

0

(11.1.20)

-Yxx(p)

YxA p - 1)

Yxxip-

2)

-

YxAO)

-ap _

_ 0

_

T

h is co rre la tio n

m atrix

is

T o e p litz ,

and

h en ce

it can

b e efficien tly

in v erted

by use

o

f th e a lg o rith m s d escrib ed

in

S e c tio n

11.3.

F in a lly ,

by

settin g

a k

0 ,

1

<

k

<

p ,

an d

h(k)

— bk,

0

<

k

<

q,

in

(1 1 .1 .1 8 ),

w

e

o b ta in

th

e

re la tio n sh ip

for

th e

a u to co rre la tio n

se q u e n ce

in

th e

ca se

o f

a

M A

p

ro cess, n am ely ,

 

<?

 

cru , 2 2 bkbk+m'

°

-

m

-

?

 

Y x A

m )

=

n

*=<>

(1 1 -1 .2 1 )

 

0 ,

m

>

q

y*x (—m ),

m

<

0

11.2 FORWARD AND BACKWARD LINEAR PREDICTION

 

L

in e a r p red ictio n

is an

im p o rta n t to p ic

in d ig ital signal

p ro cessin g w ith

m an y p ra c­

tica l

e

tim e.

th

a p p lica tio n s.

o f

In

sta tio n a ry

th is

sectio n

ran d om

v alu e

T h is

a

fo rm u la tio n

lead s

to

w e

p ro ce ss

co n sid er

th e

e ith e r

filter

p ro b le m

forw ard

in

and

la ttic e

stru ctu res

co

n n e ctio n s to

p a ra m e tric

signal m o d els.

o f lin ea rly

tim e

to

p red ictin g

in

in terestin g

o r

so m e

b ack w ard

11.2.1 Forward Linear Prediction

L e t

p ro cess

th

by a w eig h ted lin ea r co m b in a tio n

u s beg in

fro m

w ith

th e p ro b le m

o f p red ictin g

o f

p ast

v alu es

o f

th e

a fu tu re

p ro cess.

th e

fo rm s

v alu e

In

ran d om

p articu la r, w e co n sid er

o f a statio n ary

o b serv a tio n

e

one-step fo rw a rd lin e a r p re d icto r, w hich

o f

th e

p red ictio n

o f

th e

v alu e

,

x (n )

x (n —p ).

p ast v alu es x (n —1), x (n -2),

H

e n c e th e lin ea rly p red icted

v alu e

o f

x ( n )

is

 

p

 

x (n )

=

— ^

a

p( i ) x (n

— k)

(1 1 .2 .1 )

 

*= l

 

w

h ere th e

{—a p {k)}

re p re se n t th e w eig h ts

in th e

lin ea r co m b in a tio n .

T h e s e w eights

a re

o rd e r

a n d

ca lle d

th e

p .

T h e

p re d ic tio n

co efficients

o f

th e

forw ard

o f

te ch n ica l literatu re.

o n e -ste p

x (n )

lin e a r

is fo r m a th em a tica l co n v e n ien ce

p red icto r

o f

n eg a tiv e sign in

th e d efin itio n

th e

co n fo rm s

w ith cu rre n t p ra ctice in

858

Linear Prediction and Optimum Linear Filters

Chap. 11

th

Figure 1L 2

F o rw ard lin ear prediction

T

h

e

d iffe re n ce

b e tw e en

th e

v alue x (n )

an d

th e

p red icted

e fo rw

a

rd

p re d

ic tio n

e rro r, d en o ted

as

f p (n):

 
 

f

p (n)

=

x(n )

-

x ( n )

 
 

p

 

=

x (n )

+

^

a p (k)x(n

-

k)

v alu e

x (n )

is called

(11.2.2)

is em

e rro r

W e view lin e a r p red ictio n

th e in p u t

b ed

as eq u iv alen t to lin e a r filterin g w h ere

c a lle d

{jc(ai)}

th e p red icto r

a

A n

p re d ic tio n -

e q u iv a le n

t

d ed

in

lin e a r filte r, as

se q u e n c e

sh ow n

an d

in

F ig .

o u tp u t

1 1 .2 .

T h is

is

filte r w ith

s e q u e n c e

{ f r (n )}.

re

a liz a tio

n

fo r

th e

p r e d ic tio n -e r ro r

filte r

is

sh o w n

in

F ig .

1 1 .3 .

T h is

re a liz a tio n

is

a

d irect-fo rm

F I R

filter w ith

system

fu n ctio n

 
 

p

 

A p (z)

=

(1 1 .2 .3 )

 

i-=0

 

w

h ere, by

d e fin itio n , a^ (0)

=

1.

 

A

s

show n

in

S ectio n

7.2 .4 ,

th e

d irect-fo rm

F I R

filter is

e q u iv a len

t

to

an

all-

z ero

la ttice

filter.

T h e

la ttice

filter

is

g en erally

d escrib ed

by

th

e

follo w in g

set

o f

1----/,(")

Figure 11-3

Prediction-error filter

“p(P)

Sec. 11.2

Forward and Backward Linear Prediction

859

e q u a tio n :

 

o rd e r-re c u rsiv e fo (n )

=

go(n)

-

 

x {n )

 
 

fm (n )

=

/ m -i(n

)

+

K mg m~ i( n

-

1)

m

=

l , 2

,

.

.

. , p

(1 1 .2 .4 )

g m(n)

=

Ar*/m_

i( n )

+

g m- i ( n

-

1)

m

=

1 . 2

p

w

h ere

{ £ m)

a re

th e

re fle c tio n

co e fficie n ts

an d

gm(n)

is

th e

b a ck w ard

p red ictio n

e

rro r

d efin ed

in

 

th e

follo w in g

sectio n .

 

N o te

th at

fo r

co m

p lex-v alu ed

d ata,

th e

o n ju g a te

c

/7-stage

o f la ttic e

K m

is

filte r

u sed

in

in

b lo ck

th e

eq u a tio n

d iag ram

fo rm

fo r

gm(n).

alo n g

w ith

F ig

a

u ty p ical

re

illu stra te s

1 1 .4

sta g e

a

show ing

th e

co m p u ta tio n s given

 

(1 1 .2 .4 ).

 
 

A s

a

co n se q u e n ce

by o f

th e

eq u iv alen ce

b etw

een

th e

d irect-fo rm

p red ictio n -

e r ro r

F I R

filte r an d

th e

F I R

la ttic e

filter, th e

o u tp u t

o f

th e

 

/>-stage la ttic e

filter is

ex p resse d

as

 

f p (n)

-

Y

a p(f:^x (n ~

f t

a p(0)

=

l

(1 1 .2 .5 )

S

in c e

(1 1 .2 .5 )

is

a co n v o lu tio n

su m ,

th e

z -tra n sfo rm

r e la tio n s h ip

is

 

F

r (z)

=

A

p ( z )X (z )

 

o

r, eq u iv alen tly .

 
 

A

(z)

=

W

=

^

 

'

X ( z

)

F 0(z)

T

h e

m e a n -s q u a re

v alu e

o f

th e

fo rw ard

lin

e a r p re d ictio n

e r r o r

f p{n)

is

(11.2.6)

(1 1 .2 .7 )

£

fp

=

E [ \ f p (n )\2]

 
 

p

(11.2.8)

 

=

>'jj(0) +

2 R e

a * (l)a p(k )y xx(l -

k )

Figure 1L4

p-stage lattice filter

860

Linear Prediction and Optimum Linear Filters

Chap. 11

<?/ is

a

q u a d ra tic

fu n ctio n

o f

th e

p r e d ic to r

c o e ffic ie n ts

an d

its m in im iz a tio n

lead s

to

th e

set

o

f lin ea r

eq u a tio n s

 
 

p

 

yx A

d

=

-

Y

,

a r {k )y * * v

~

k)

l

=

l ' 2

p

( n

-2 -9 )

 

*=i

T

h e se

a re

called

th e

n o rm a l

eq u atio n s

fo r

th e

co efficie n ts

o f

th e

lin ea r p red icto r.

T

h e

m inim um

m ea n -sq u a re

p red ictio n

e rro r is sim ply

 
 

m in [£ / ]

s

E {

=

y „ ( 0 )

+

Y

, a

p { k ) YxA

- k

)

(1 1 .2 .1 0 )

 

*=i

 

In

th e follo w in g sectio n

w e ex ten d

th e

d e v elo p m en t

a b o v e

to

th e p ro b lem

o f

p

red ictin g

th e

v alu e

o f

a

tim e

series

in

th e

o p p o site

d irectio n ,

n am ely , backw ard

in

tim e.

11.2.2 Backward Linear Prediction

L e t

us a ssu m e

th a t

w e

h a v e

th e

d a ta

s e q

u e n c e x ( n ) , x ( n - 1 )

 

x(rt —p + 1) fro m

a

statio n a ry ran d om

p ro cess and w e wish to p red ict th e v alue

x (n

p )

o f th e p rocess.

In

this

case

we

em p lo y

a

one-step

b a c k w

a rd

lin e a r

p re d icto r

o f

o rd e r

p.

H en ce

 

p -i

 

x (n

— p )

=

—Y 2

bp (k)x{n

— k)

 

( 11.2 . 11)

 

k=0

T

h e

d iffe re n c e

b e tw e e n

th e

v a lu e x(n

— p )

an d

th e

e s tim a te

x (n

-

p )

is ca lle d

th e

b a c k w a rd

p re d ictio n

e rro r, d en o ted