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Generate sample correlation functions,

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You are on page 1of 17

Report

For

Project 4

Wiener Filtering

ASIF AL – RASHEED

EE 5521

Page 2 of 17

The file P4Data.mat contains three random sequences: x[n], v[n], and r[n], where

[ ] [ ] [ ] r n x n v n = + .

The sequence v[n] is white noise. Estimate the variance

2

v

o of v[n].

The variance

2

v

o = 15.9901

a. Generate sample correlation functions to yield estimates of R

r

[m] and R

xr

[m] from the data. Plot these

correlation functions for | | 100,100 me ÷

Simulation results:

Fig 1: Sample autocorrelation function of the measurement.

Page 3 of 17

Fig 2: Sample cross correlation function of the signal with measurement.

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b. Using the estimated correlation functions, compute the FIR Wiener filter for:

1. N = 4

2. N = 8

3. N = 16

We compute the matrix

For all values of N and,

Simulation results:

N=4 N=8 N=16

Filter coefficients

0.0504 0.0451 0.0415

0.0475 0.0419 0.0381

0.0451 0.0392 0.0352

0.0432 0.0368 0.0326

0.0347 0.0301

0.0333 0.0283

0.0318 0.0264

0.0304 0.0245

0.0225

0.0210

[0] [0]

[0] [1] [ 1]

[1] [1]

[1] [0] [ 1]

[ 1] [ 1]

[ 1] [ 2] [0]

xr

r r r

xr

r r r

xr

r r r

R h

R R R N

R h

R R R N

h N R N

R N R N R

(

( (

(

÷

( (

(

( (

( ÷ =

( (

(

( (

(

= ÷ ÷

¸ ¸ ¸ ¸

(

÷ ÷

¸ ¸

1

1 0

ˆ[ ] [ ] [ ] [ ] [ ]

n N

k n N l

x n h n k r k h l r n l

÷

= ÷ + =

= ÷ = ÷

¿ ¿

Page 5 of 17

N=4 N=8 N=16

Filter coefficients

0.0195

0.0184

0.0176

0.0166

0.0159

0.0153

All results are plotted from 10000 to 10099

Fig 3: The signal x[n].

Page 6 of 17

Fig 4: The FIR estimate of x[n], ˆ[ ] x n for N=4.

Fig 5: The error of the FIR estimate of x[n], ˆ[ ] x n for N=4.

Page 7 of 17

Fig 6: The signal with its FIR estimate and error for N=4.

Fig 7: The FIR estimate of x[n], ˆ[ ] x n for N=8.

Page 8 of 17

Fig 8: The error of the FIR estimate of x[n], ˆ[ ] x n for N=8.

Fig 9: The signal with its FIR estimate and error for N=8.

Page 9 of 17

Fig 10: The FIR estimate of x[n], ˆ[ ] x n for N=16

Fig 11: The error of the FIR estimate of x[n], ˆ[ ] x n for N=16.

Page 10 of 17

Fig 12: The signal with its FIR estimate and error for N=8.

N Theoretical mean square errors Time-average squared error

4 0.7951 0.7960

8 0.7131 0.7137

16 0.6498 0.6504

We see that for N = 16 the errors are the least as expected.

Page 11 of 17

c. Generate the sample correlation functions of x[n]. Assume that x[n] has the auto-correlation function:

2

[ ]

m

x x

R m a o = .

where

2

x

o and a are found using curve fitting

Simulation results:

2

x

o

0.9684

a 0.9627

Fig 13: Plot of correlation function and the sample correlation function of x[n] for | | 100,100 me ÷ .

Page 12 of 17

Computation for the IIR Filter:

The correlation functions of the signal and noise are

To generate the IIR Wiener filter, we need the correlation matrix of the measurements:

The cross-correlation of the measurements and the vector being estimated:

The complex cross-spectral density S

xr

(z) is the two-sided z-transform of the cross-correlation function

The complex spectral density S

r

(z) is the two-sided z-transform of the correlation function:

Then,

Continuing,

The second term corresponds to the non-causal part of the impulse response.

( )

2

[ ] 0.9684 0.9627

m m

x x

R m a o = =

2

[ ] [ ] 15.9901 [ ]

v v

R m m m o o o = =

( )

[ ] [ ] [ ] 0.9684 0.9627 15.9901 [ ]

m

r x v

R m R m R m m o = + = +

( )

[ ] [ ] 0.9684 0.9627

m

xr x

R m R m = =

{ }

2

1 1

0.9684(1 (0.9627) ) 0.070895

( ) 0.9684(0.9627)

(1 0.9627 )(1 0.9627 ) (1 0.9627 )(1 0.9627 )

m

xr

S z

z z z z

÷ ÷

÷

= = =

÷ ÷ ÷ ÷

{ }

1

1

1

0.070895

( ) 0.9684(0.9627) 15.9901 [ ] 15.9901

(1 0.9627 )(1 0.9627 )

(1 0.928 ) (1 0.928 )

16.5937

(1 0.9627 ) (1 0.9627 )

m

r

S z m

z z

z z

z z

o

÷

÷

÷

= + = +

÷ ÷

÷ ÷

=

÷ ÷

1

min 1

(1 0.928 )

( )

(1 0.9627 )

z

H z

z

÷

÷

÷

=

÷

0

16.5937 K =

1 1 1

min

( ) 0.070895 (1 0.9627 ) 0.070895

( ) (1 0.9627 )(1 0.9627 ) (1 0.928 ) (1 0.9627 )(1 0.928 )

xr

S z z

H z z z z z z

÷ ÷ ÷

÷

= =

÷ ÷ ÷ ÷ ÷

1 1

1 1 1 1 1 1

(0.928) 0.070895 1 1

0.665

(1 0.9627 )(1 0.928 ) 1 0.9627 1 0.928

z

z z z z

÷ ÷

÷ ÷ ÷ ÷ ÷ ÷

÷ (

= = ÷

(

÷ ÷ ÷ ÷

¸ ¸

Page 13 of 17

Dropping the non-causal term,

The Wiener filter is then,

The corresponding difference equation is:

Simulation results:

Variance of the noise, K

0

= 16.5937

All results are plotted from 10000 to 10099

Fig 14: The signal x[n].

1 1

min

( ) 0.665

( ) 1 0.9627

xr

S z

H z z

÷ ÷

+

(

=

(

÷

¸ ¸

( ) ( )

1

1 1 1

0 min min 0

( ) 1 1 1 0.9627 0.665 0.04

( )

1/ 1 0.928 1 0.9627 1 0.928

xr

iir

S z z

H z

K H z H z K z z z

÷

÷ ÷ ÷

+

(

÷

= = =

(

÷ ÷ ÷

¸ ¸

ˆ ˆ [ ] 0.928 [ 1] 0.04 [ ] x n x n r n = ÷ +

Page 14 of 17

Fig 15: The IIR estimate of x[n], ˆ[ ] x n

Fig 16: The error of the IIR estimate of x[n], ˆ[ ] x n .

Page 15 of 17

Fig 17: The signal with its IIR estimate and error.

Theoretical mean square error 0.6527

Time-average squared error 0.6530

Page 16 of 17

Comparison of FIR and IIR filters:

Fig 18: The signal with its FIR and IIR estimates.

Page 17 of 17

Fig 19: Different Estimation errors.

We reiterate the errors here

Filter type Theoretical mean square errors Time-average squared error

FIR Filter

N

4 0.7951 0.7960

8 0.7131 0.7137

16 0.6498 0.6504

IIR Filter 0.6527 0.6530

Comment:

From the results we see that the FIR filter for N=16 gives the best results.

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