SIGNAL MODELING

BY DEBANGI GOSWAMI

CONTENTS
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Introduction 1.Title description 2.Need and importance of signal modeling Theory 1.Least mean square direct method. 1.1. Brief Overview 1.2. Disadvantages 2.Pade Approximation 3.Prony’s Approximation 4.Shanks Method 5.Stochastic process-ARMA,MA,AR Application Least Mean Square Inverse FIR filter Conclusion References

WHAT IS MODELING:
Modelling of signal is basically mathematical representation of signal.  Fourier series, Fourier transform are kind of signal models. WHY MODELLING NEED OF MODELING:

1.EFFICIENCY OF TRANSMISSION 2.PREDICTION

the frequency 𝜔𝑜 and phase𝜑0.SIGNAL MODELING IN EFFICIENCY OF TRANSMISSION Data compression x(n)≈ 𝛼𝑘𝑐𝑜𝑠(𝑛𝜔𝑘 + 𝜑𝑘) Two approaches:  A. Point by point basis i.e x(0) followed by x(1) Record model parameters amplitude 𝛼 .Signal model x(n)≈ 𝐿 𝛼𝑘𝑐𝑜𝑠(𝑛𝜔𝑘 + 𝜑𝑘) 𝑘=1 . B.

B. 𝒌 𝒙(𝒏 − 𝒌) Given x(n) for n∈ 0. SOLUTION Suppose x(n) can be modeled with recursion of form: x(n)≈ 𝒑 𝒌=𝟏 𝜶𝒑 A.the next value x(N)..1…N-1 and goal is to predict the next value(N) One of consecutive values may be missing or severely distorted over interval[N1.SIGNAL MODELING IN PREDICTION  Signal interpolation & prediction(extrapolation) PROBLEMS: x(n) may be known for n=0.N2].could be estimated x(n)≈ 𝒑 𝒌=𝟏 𝜶𝒑 𝒌 𝒙(𝑵 − 𝒌) . 𝑁 − 1 .recover x(n).

STEPS IN MODELLING PARAMETRIC FORM OF MODEL MODEL PARAMETER THAT BEST APPROXIMATE THE GIVEN SIGNAL .

2. 3. There are various approches for forming a model Signal as sum of sinosoid Signal as sum of damped sinosoid x(n)≈ 𝜶𝒌𝜹𝒌 𝐜𝐨𝐬 𝒎𝝎𝒌 + 𝝋𝒌 Here signal is represented as the output of a causal linear shift invariant filter that has a rational system function of the form: 𝑏𝑞 𝑘 𝑧 −𝑘 𝐵𝑞(𝑧) H(z)= = 𝑘=0 𝑝 𝐴𝑝(𝑧) 1+ 𝑘=1 𝑎𝑝(𝑘)𝑧 −𝑘 𝑞 Signal model includes filter coefficient ap(k) and bq(k) and input signal.PARAMETRIC FORM OF MODEL  1. .

WHITE NOISE .TYPES OF SIGNAL TO BE MODELLED FIXED SIGNAL SUCH AS UNIT SAMPLE 𝛿(𝑛) DETERMINISTIC SIGNALSREPRESENTED BY A FEW PARAMETER SIGNALS 𝜗 𝑛 = 𝑝 𝑘=0 𝛼𝑘𝛿(𝑛 − 𝑛𝑘) RANDOM INPUT WILL BE STOCHASTIC PROCESS.

Linear Prediction ITERATIVE PREFILTERING FINITE DATA RECORDS 1. Pole-Zero modeling 2.The Covariance Method THE STOCHASTIC MODELS-ARMA.MA DETERMINISTIC RANDOM .MODEL PARAMETER Models must be computationally efficient procedure for deriving the model parameters. All-Pole Modeling 4. Various approaches to signal modeling       THE LEAST SQUARE DIRECT METHOD THE PADE APPROXIMATION PRONY’S METHOD 1. Shanks method 3.The Autocorrelation Method 2.AR.

Models deterministic signal 𝛿(n).as sample response of h(n) x(n)=0 for n<0 and filter h(n) is causal Modeling error by e’(n) The error measure that is to be minimized is square error h(n) and x(n) are both assumed to be zero for n<0.i.r.e. e’(n)=0 n<0 A necessary condition for the filter cofficient ap(k) and bq(k) to minimize the squared error is that partial derivative 𝜀𝐿𝑆 w. .t ap(k) And bq(k) vanish.

r.LEAST SQUARE (CONTINUED) Using Parseval writing in frequency domain Setting the partial derivative w.2….t bq(k) ..r.differentiating w.t ap*(k) equal to zero we have Treating ap(k) and ap*(k) as independent variable For k=1.q.

LEAST MEAN(DIRECT) METHOD BLOCK DIAGRAM DISADVATAGES OF LM(DIRECT): Not mathematically tracable and not amendable to real time processing.If there are 10 poles we have to find inverse of (10×10) matrix which is tedious job. . Optimum set of model parameter are defined implicitely in terms of a set of p+q+1 non linear equation.

Where h(n)=0 for n<0 and n>q.To find the cofficients ap(k) and bq(k) that gives an exact fit of data model in [0. In time domain. In Pade we force the filter output h(n) to be equal to given signal x(n) for p+q+1 values of n.PADE APPROXIMATION   Pade approximation only requires solving a set linear equation.p+q] we set h(n)=x(n) .

For soving the equation we use two step approach first solving for denominator ap(k) and then bq(k).In matrix form.ap(k) last p equations .

 Since the Pade approximation forces the model to match the signal only over limited range of values.CONCLUSIONS ON PADE APPROXIMATION The model formed from Pade approximation will produce an exact fit to data over the interval[0.  Pade approximation will give correct model parameters provided the model order is chosen to be large enough.But has no guarantee on how accurate the model will be for n>p+q.p+q].the model generated is not stable  .

it models the signal without error.A least square minimization of e’(n) results in set of non-linear equation for filter cofficient Multiplying by Ap(z) we have new error That is linear cofficients.p+q] to determine model parameter and over this interval. There is no guarantee on how well the model will approximate the signal for n>p+q POLE ZERO MODELLING: Similar to pade x(n)=0 for n<0.In time domain: .PRONY’S METHOD The limitation of Pade approximation-Only uses values of the signal x(n) over the interval [0.

p+q as in Pade approximation.1.error can be explicitly written as Instead of setting e(n)=0 for n=0.……. .Prony’s method begins by finding the cofficient ap(k) that minimizes squared error.Since bq(n)=0 for n>q.

Prony’s normal equation: In matrix form normal equation are Consisely written as .Equivalently.

Thus the minimum value: .ESTIMATION OF ERROR IN PRONY’S Minimun value of modeling error: e(n) and x*(n) are uncorrelated so from orthogonality principle the second term is zero.

PRONY NORMAL EQUATION Augmenting the previous equation in this Using matrix notation written as .

COMPARISION LOW PASS FILTER CHARTERISTICS OF PRONY AND PADE .

q]. 2.q. Filter can be viewed as cascade of two filter Ap(z) and Bq(z) g(n) can be computed using the equation: .….Although this allows the model to be exact over [0.this does not take into account data for n>q.SHANKS APPROXIMATION In Prony e(n)=0 for n=1. Shanks performs mininization of model error over entire length of data record.

which produces the approximation x(n) when input to filter g(n). …….Instead of forcing e(n) to zero for first q+1 values of n as in Prony.To compute cofficient filter Bq(z).Shank minimizes the squared error.(1) ………….(2) Substituting (1) in (2) ..

2.MSE AND COMPARISION WITH PRONY Minimum squared error 1.Shanks method is more involved than Prony’s method.autocorretion of g(n).But in shank the mean square error reduces considerably .cross correlation of g(n) and x(n).Extra compution of sequence g(n).

unvoiced speech.economic data and seismograph ARMA: White noise is filtered with causal Linear shift invariant filter having p poles and q zeros.population statistics. YULE WALKER .STOCHASTIC PROCESS:AR.ARMA Signals whose time evolution is governed by unknown factors like electrocardiogram.MA.

.STOCHASTIC PROCESS CONTINUED. AR: A WSS AR process of order p is a special case of ARMA(p..….. MODIFIED YULE WALKER Here k=q+1.q+p Comparing above eq with Pade approximation the data consist of a sequence of autocorrelations rx(k) .q) process in which q=0.

STOCHASTIC CONTINUED…. In matrix form MA: A MA process is generated by filtering unit variance white noise with an FIR filter order q : .

Assume that channeal transfer function is G(z).APPLICATION OF SIGNAL MODELLING FIR LEAST SQUARES INVERSE FILTER Given a FIR filter the inverse filter relation can be written as NEED:  Equalization filter in digital communicatilon. Procedure: g(n) is causal filter to be equalized.the solution of least square inverse filter is .the eqalization filter is found by relation.the problem is to find FIR filter hN(n) of length N such that The equation is same as shank.

.(1) .FIR LS INVERSE FILTER CONTINUED where Matrix form: From shank’s it follows the concise form: ………….

then The inverse filter is We first find the least square inverse of length N=2.The autocorrelation of g(n) is Therefore .PROBLEM ON LEAST SQUARE INVERSE FIR FILTER Let us find the FIR square inverse for system having a unit sample response 𝛼 < 1.

2….(2) .N these equation may be represented in homogeneous form The general solution to this equation is ………….PROBLEM CONTINUED With squared error of The system function of least square inverse filter is Which has a zero at Least square inverse from equation 1 is For n=1.

PROBLEM c1.c2 are constants and determined from boundary condition at n=0 and n=N-1 i.e first and last equation …(3) Substituting (2) in (3) Which after cancelling common term can be simplified to .

i.e. 𝐼𝑓 |𝛼|≤ 1 This is the inverse filter. .PROBLEM CONTINUED Finally with n=0 It follows that squared error is Asymtotically seeing at N→ ∞.

 PROBLEM IN SIGNAL MODELING  MODEL ORDER ESTIMATION: In the cases assumed so far we have assumed that a model of given order to be found.CONCLUSION The various methods of signal modelling for both deterministic and stochastic process are discussed.In the absence of any information about the correct model order .it becomes necessary to estimate what an appropiate model order should be. .Misleading information may result in an inappropiate model order.

Djuri´c State University of New York at Stony Brook Steven M.Joseph Picone Spectrum Estimation and Modeling by Petar M. Momoh J. Aibinu. Amir A. Shafie and Athaur Rahman Najeeb .Vajta Comparing Autoregressive Moving Average(ARMA) coefficients determination using Artificial Neural Networks with other techniques Abiodun M. Salami. Kay University of Rhode Island SOME REMARKS ON PADÉ-APPROXIMATIONS M. E.REFERENCES      STATISTICAL SIGNAL PROCESSING AND MODELING… MONSON H.HAYES Signal Modeling Techniques In Speech Recognition by.

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