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# Poularikas A. D.

## Random Digital Signal Processing

The Handbook of Formulas and Tables for Signal Processing.
Ed. Alexander D. Poularikas
Boca Raton: CRC Press LLC,1999

1999 by CRC Press LLC

1999 by CRC Press LLC

35

Random Digital Signal

Processing

35.1 Discrete-Random Processes

35.2 Signal Modeling

35.3 The Levinson Recursion

35.4 Lattice Filters

References

35.1 Discrete-Random Processes

35.1.1 Denitions

35.1.1.1 Discrete Stochastic Process

one realization

35.1.1.2 Cumulative Density Function (c.d.f)

continuous r.v. on time n (over the ensemble), the value of

35.1.1.3 Probability Density Function (p.d.f.)
35.1.1.4 Bivariate c.d.f.
35.1.1.5 Joint p.d.f.

Note:

For multivariate forms extend (35.1.1.4) and (35.1.1.5).

35.1.2 Averages (expectation)

35.1.2.1 Average (mean value)

relative frequency interpretation

{ ( ), ( ), , ( )} x x x n 1 2 L
F x n P X n x n X n
x
( ( )) { ( ) ( )}, ( ) x n ( )
X n n ( ) at
f x n
F x n
x n
x
x
( ( ))
( ( ))
( )

F x n x n P X n x n X n x n
x
( ( ), ( )) { ( ) ( ), ( ) ( )}
1 2 1 1 2 2

f x n x n
F x n x n
x n x n
x
x
( ( ), ( ))
( ( ), ( ))
( ) ( )
.
1 2
2
1 2
1 2

( ) { ( )} ( ) ( ( )) ( ), ( ) lim ( ) n E x n x n f x n dx n n
N
x n
x
N
i
N
i

1
]
1
1

1
1

1999 by CRC Press LLC

35.1.2.2 Correlation

complex r.v.
relative frequency interpretation
autocorrelation

35.1.2.3 Covariance-Variance
Example 1

Given with

r.v. uniformly distributed between Then
which implies that the process is at least a wide-sense stationary process.

35.1.2.4 Independent r.v.

,
uncorrelated. Independent implies uncorrelated, but the reverse is not always true.

35.1.2.5 Orthogonal r.v.

35.1.3 Stationary Processes

35.1.3.1 Strict Stationary

for any set

for any k and
any

n

0

.

35.1.3.2 Wide-sense Stationary (or weak)

constant for any n,
R R ( , ) { ( ) ( )} ., ( , ) { ( ) ( )} m n E x m x n m n E x m x n

real r.v
R( , ) ( ) ( ) ( ( ), ( )) ( ) ( ) m n x m x n f x n x m dx m dx n

R( , ) lim ( ) ( ) m n
N
x m x n
N
i
N
i i

1
]
1
1

1
1
R( , ) { ( ) ( )} n n E x n x n

C( , ) {[ ( ) ( )][ ( ) ( )] } { ( ) ( )} ( ) ( ) m n E x m m x n n E x m x n m n

C( , ) [ ( ) ( )][ ( ) ( )] ( ) ( ) m n x m m x n n dx m dx n

C( , ) ( ) { ( ) ( ) } n n n E x n n
2
2
variance
R C ( , ) ( , ) ( ) ( ) m n m n m n if 0
x n Ae
j n
( )
( )

+
0
and .

E x n E A j n R k E x k x E Ae A e
A E e A e R k
x
j k j
j k j k
x
{ ( )} { exp( ( ))} , ( , ) { ( ), ( )} { }
{ } ( )
( ) ( )
( ) ( )
+

+ +

0
2 2
0
0 0
0 0
l l
l
l
l l
f x m x n f x m f x n E f x m x n E f x m E f x n ( ( ), ( )) ( ( )) ( ( )), { ( ( ), ( ))} { ( ( ))} { ( ( ))} p.d.f.
C( , ) m n 0
E x m x n { ( ) ( )}

0

F x n x n x n F x n n x n n x n n
k k
( ( ), ( ), , ( )) ( ( ), ( ), , ( ))
1 2 1 0 2 0 0
L L + + +

{ , , , } n n n
k 1 2
L

x x
n ( )

R R
x x x
k k C ( , ) ( ), ( ) l l < 0 variance

1999 by CRC Press LLC

35.1.3.3 Correlation Properties

1. Symmetry:
2. Mean Square Value:
3. Maximum Value: ,
4. Periodicity: If for some then is periodic

35.1.3.4 Autocorrelation Matrix

The

H

superscript indicates conjugate transpose quantity (Hermitian)

Properties:

1.
2. Toeplitz matrix
3. is non-negative denite
4.

35.1.3.5 Autocovariance Matrix
35.1.3.6 Ergotic in the Mean

a.
b.
c.

35.1.3.7 Autocorrelation Ergotic

35.1.4 Special Random Signals

35.1.4.1 Independent Identically Distributed

If for a zero-mean, stationary random signal, it is said that the
elements are independent identically distributed (iid).

35.1.4.2 White Noise (sequence)

If delta function, variance of white noise,
the sequence is white noise.
r k r k r k r k
x x x
( ) ( ) ( ( ) ( ) )

## for real process

r E x n
x
( ) { ( ) } 0 0
2

r r k
x x
( ) ( ) 0
r k r
x x
( ) ( )
0
0 k
0
r k
x
( )

R xx x
x
H
x x x
x x x
x x x
T
E
r r r p
r r r p
r p r p r
x x x p

1
]
1
1
1
1
{ }
( ) ( ) ( )
( ) ( ) ( )
( ) ( ) ( )
, [ ( ), ( ), , ( )]
0 1
1 0 1
1 0
0 1
L
L
M
L
L
R R
H
x x
r k r k

or ( ) ( )
R
x Rx R
H
0,

E x p x p x
B BH T B T
{ } , [ ( ), ( ), , ( )] x x R x 1 0 L

C x x R
x x x
H
x x x x x x x
T
E {( )( ) ] , [ , , , ] L
lim

( ) ,

( ) ( ), ( ) { ( )}
N
x x x
n
N
x
N n
N
x n n E x n

1
1
lim ( ) ,
N
k
N
x
N
c k

1
0
1
lim ( )
k
x
c k

0
lim ( )
N
k
N
x
N
c k

1
0
1
2

f x x f x f x ( ( ), ( ), ) ( ( )), ( ( )), 0 1 0 1 L L
x n ( )
r n m E v n v m n m n m
v
( ) { ( ) ( )} ( ), ( )

v
2

1999 by CRC Press LLC

35.1.4.3 Correlation Matrix for White Noise
35.1.4.4 First-Order Marrkov Signal
35.1.4.5 Gaussian

1.
2.

C

= covariance matrix for elements
of

x

3. correlation matrix,
4. is zero-mean Gaussian iid (Gaussian white noise), then
5. Linear operation on a Gaussian signal produces a Gaussian signal.

35.1.5 Complex Random Signals

35.1.5.1 Complex Random Signal
35.1.5.2 Expectation
35.1.5.3 Second Moment
35.1.5.4 Variance
35.1.5.5 Expectation of Two r.v.

the real vector has a joint p.d.f.

35.1.5.6 Covariance of Two r.v.

Note:

If is independent of (equivalently then

35.1.5.7 Expectation of Vectors

then
R I
v
2

f x n x n x n x f x n x n ( ( ) ( ), ( ), , ( )) ( ( ) ( )) 1 2 0 1 L
f x i x i i
i i
( ( )) exp ( ( ) ( ))

1
]
1
1
2
1
2
2
2

f x n x n x n f
L L
T
( ( ), ( ), , ( )) ( )
( )
exp[ ( ) ( )]
/
/ 0 1 1 2
1 2
1
2
1
1
2
L

x
C
x C x

x

[ ( ), ( ), , ( )] , [ ( ), ( ), , ( )], x n x n x n n n n
L
T
L 0 1 1 0 1 1
L L
f
L
T
( )
( )
exp[ ],
/
/
x
R
x R x R

1
2
2
1 2
1
2
1

E{ } x 0
If x n ( )
R I R x

1
]
1
1

1
2
2
2 2
2
1 1
2
1
2
0
1

v
v
L
L
v
L
v
i n
n
f x i
L
, , ( )
( )
exp ( )
/
, ., x u jv u v x + and real r.v complex r.v
E x E u j E v {} { } { } +
E x E xx E u E v { } { } { } { }
2
2 2
+

var ( ) { {} } { } {} x E x E x E x E x
2 2 2
E x x E u u E v v j E u v E u v { } { } { } ( { } { }),
1 2 1 2 1 2 1 2 2 1

+ + [ ] u u
T
1 2 1 2

cov( , ) { } { } { }. x x E x x E x E x
1 2 1 2 1 2

x
1
x
2
[ ] [ ] u u
T T
1 1 2 2
is independent of
cov( , ) x x
1 2
0

If

[ ] , x x x x
n
T
1 2
L

E E x E x E x
n
T
{

} [ { } { } { }] x
1 2
L

1999 by CRC Press LLC

35.1.5.8 Covariance of

H = means complex conjugate of a matrix.

Note:

is positive semi-denite.

Example
35.1.5.9 Complex Gaussian

If we write then complex
Gaussian

35.1.5.10 Complex Gaussian Vector

each component of

is the real random vectors
are independent,
multivariate complex Gaussian
p.d.f.

Properties

1. Any subvector of is complex Gaussian
2. If s of are uncorrelated, they are also independent and vice versa
3. Linear transformations again produce complex Gaussian
4. If then

x

C x x x x

{(

})(

}) }
var( ) cov( , ) cov( , )
cov( , ) var( ) cov( , )
cov( , ) cov( , ) var( )
x
H
n
n
n n n
E E E
x x x x x
x x x x x
x x x x x

1
]
1
1
1
1
1

1 1 2 1
2 1 2 2
1 2
L
L
M
L
C C C

x
H
x x
and

, {

} {

} , , { } { } , y Ax b y A x b A A + + + +

E E y x b E y E x b
i
j
n
ij j i i
j
n
ij j i
1 1

C y y y y A x x x x

{(

})(

}) } { (

})(

}) },
y
H H H
E E E E E E A

C A x x x x A

[(

})(

}) ] [ ]
y
ij
ij
n
k
n
H
k
H
j
E E E
[ ]

'

l
l l
1 1
, , ( , / ), ( , / ), x u jv u v u N v N
u v
+ and independent
2 2
2 2
f u v u v
u v
( , ) exp[ (( ) ( ) )]. +
1 1
2 2
2 2

{} , + E x j
u v
f x x x CN ( ) ( / )exp[
/ ], (

, ) 1
2
2
2 2

[ ] , x x x x
n
T
1 2
L

x CN
i i
(

, ),
2
[ ] , [ ] , u v u v
T T
1 1 2 2

L,[ ] u v
n n
T
f f x x
i
i
n
n
i
i
n
i
i
n
i i
(

) ( ) exp
x

1
]
1
1

1
]
1
1

1
]
1
1

1
2
1
2
1
2
1
1

[ / [ det( )]]exp[ (
) (
)], ( , , , )

1
1
1
2
2
2 2

n
x
H
x x n
diag C x C x C

L

CN
x
( , )

x
x
i

[ ] ( , ),

x 0 C x x x x CN
T
x 1 2 3 4
E x x x x E x x E x x E x x E x x { } { } { } { } { }
1 2 3 4 1 2 3 4 1 4 2 3

+

1999 by CRC Press LLC

35.1.6 Complex Wide Sense Stationary Random Processes

35.1.6.1 Mean
35.1.6.2 Autocorrelation

35.1.7.1 Complex Derivative

J = scalar function with respect to a complex parameter

Note:

Example
35.1.7.2 Chain Rule

and hence

35.1.7.3 Complex Conjugate Derivative

Note:

Setting will produce the same solutions as

35.1.7.4 Complex Vector Parameter

,
each element is given by (35.1.7.1).
E x n E u n jv n E u n jE v n {( )} { ( ) ( )} { ( )} { ( )} + +
r k E x n x n k E u n jv n u n k jv n k
r k jr k jr k r k r k jr k
xx
u uv vu v u uv

( ) { ( ) ( )} {( ( ) ( )) ( ( ) ( ))}
( ) ( ) ( ) ( ) ( ) ( )
+ + + +
+ + +

2 2

J J
j
J

_
,

1
2
, + j .

J J J
0 0 if and only if
J
J J
j
J
j +

_
,

2
2 2
1
2
1
2
2 2 , ( )

J
j j
j j
( , )
, ( )
( ) , ,

_
,

+
+ +
1
2
1
2
1 0 0 1 1 0

J( , )

+ 1 0

J J
j
J
j
J J

_
,

_
,

( ( )) ( )
1
2
J /

0 J / 0

J J J J
p
T

1
]
1
1 1 2
L

1999 by CRC Press LLC

Note:

if each element is zero and hence if and only if for all

35.1.7.5 Hermitian Forms

1. (see 35.1.7.2) and hence
2.
3.

35.1.8 Power Spectrum Wide-Sense Stationary Processes (WSS)

35.1.8.1 Power Spectrum (power spectral density)

Properties

1. real-valued function
2. non-negative,
3.

Example

35.1.9 Filtering Wide-Sense Stationary (WSS) Processes and Spectral
Factorization

35.1.9.1 Output Autocorrelation

autocorrelation of a linear time invariant system,

h

(

k

) = impulse
response of at the system, autocorrelation of the WSS input process

x

(

n

).

35.1.9.2 Output Power

Z-transforms,

J / 0 J J
i i
/ / 0

i p 1 2 , , , . L

l
l
( ) ,

b
H
i
p
i i
k
k
k
k
k
b b b
1

b
b
H

Also,

H
b
0
J
H H
A A A real ( ),

J
J J
j
p
i
p
i ij j
k
j
p
i
p
i ij ik
i
p
i i k
i
p
ki
T
i
T

1 1 1 1 1 1

A A A A A A , , ( )

S e r k e r k E x n x n k x n r k S e e d
x
j
k
x
jk
x x
j jk
( ) ( ) , ( ) { ( ) ( )}, ( ) ( ) ( )

WSS,
1
2
S e
x
j
( )

S e
x
j
( )

0
r E x n S e d
x
j
( ) { ( ) } ( ) 0
1
2
2

r k a a S e r k e a e a e
ae ae
a
a a
x
k
x
j
k
x
jk
k
k jk
k
k jk
j j
( ) , , ( ) ( )
cos
< +

1 1
1
1
1
1
1
1
1 2
0 0
2
2

r k r k h k h k r k
y x y
( ) ( ) ( ) ( ), ( )

r k
x
( )
S e S e H e S z S z H z H z
y
j
x
j j
y x
( ) ( ) ( ) , ( ) ( ) ( ) ( / )

2
1

1999 by CRC Press LLC

if

Note:

If

H

(

z

) has a zero at will have a zero at and another at

35.1.9.3 Spectral Factorization

Z

-transform of a WSS process

x

(

n

),
variance of whiter noise.

35.1.9.4 Rational Function

Note:

since

is real. This implies that for each pole (or zero) in there
will be a matching pole (or zero) at the conjugate reciprocal location.

35.1.9.5 Wold Decomposition

Any random process can be written in the form. regular random process,
predictable process, are

orthogonal

Note:

continuous spectrum + line spectrum

35.1.10 Special Types of Random Processes (x(n) WSS process)

35.1.10.1 Autoregressive Moving Average (ARMA)

,
variance of input white noise,

H

(

z

) = causal linear time-invariant lter = output
powers spectrum

35.1.10.2 Power Spectrum of ARMA Process
35.1.10.3 Yule-Walker Equations for ARMA Process

matrix form:
h n S z S z H z H z
y x
( ) ( ) ( ) ( ) ( / ). is real then 1
z z S z
y

0
then ( ) z z
0
z z

1
0
/ .
S z Q z Q z S z
x v x
( ) ( ) ( / ), ( )

2
1

v x
j
S e d
2
1
2

1
]
1
1

exp ln ( ) ,

v
2
=
S z
B z
A z
B z
A z
x v
( )
( )
( )
( / )
( / )
,

1
]
1

1
]
1

2
1
1

B z b z b q z A z a z a p z
q p
( ) ( ) ( ) , ( ) ( ) ( ) . + + + + + +

1 1 1 1
1 1
L L
S z S z
x x
( ) ( / )

1 S e
x
j
( )

S z
x
( )
x n x n x n x n
p r r
( ) ( ) ( ), ( ) +
x n
p
( ) x n x n
p r
( ) ( ), and E x m x n
r p
{ ( ) ( )} .

0
S e S e a
x
j
x
j
k
k
N
k
r
( ) ( ) ( )

+

1
S z
B z B z
A z A z
x v
q q
p p
( )
( ) ( / )
( ) ( / )

2
1
1

v
2

B z
A z
q
p
( )
( )
, S z
x
( )
( ) z e
j

S e
B z B z
A z A z
B e
A e
x
j
v
q q
p p
v
q
j
p
j
( )
( ) ( / )
( ) ( / )
( )
( )

2 2
2
2
1
1

c k b h k b k h
q
k
q
q
q k
q
( ) ( ) ( ) ( ) ( ), +

l l
l l l l
0

r k a r k
c k k q
k q
x
p
p x
v q
( ) ( ) ( )
( )
, +

>

'

l
l l
1
2
0
0

1999 by CRC Press LLC

35.1.10.4 Extrapolation of Correlation
35.1.10.5 Autoregressive Process (AR)

output of the lter

35.1.10.6 Power Spectrum of AR Process
35.1.10.7 Yule-Walker Equation for AR Process

Set

q

= 0 in (35.1.10.3) and with the equations are:
In matrix form:
linear in the coefcient

35.1.10.8 Moving Average Process (MA)

output of the lter

r r r p
r r r p
r q r q r q p
r q r q r q p
r q p r q p r
x x x
x x x
x x x
x x x
x x x
( ) ( ) ( )
( ) ( ) ( )
( ) ( ) ( )
( ) ( ) ( )
( ) ( ) (
0 1
1 0 1
1
1 1
1

+

+ +
+ +
L
L
M M M
L
L
M M
L qq
a
a
a p
c
c
c q
p
p
p
v
q
q
q
)
( )
( )
( )
( )
( )
( )
___

1
]
1
1
1
1
1
1
1
1
1
1
1

1
]
1
1
1
1
1
1

1
]
1
1
1
1
1
1
1
1
1
1
1
1
1
1
2
0
1
0
0
0
2
M
M
M

r k a r k k p r r p
x
p
p x x x
( ) ( ) ( ) ; ( ), , ( )

l
l l L
1
0 1 for given
S z
b
A z A z
x v
p p
( )
( )
( ) ( / )

2
2
0
1
H z
b
a k z
b
A z
k
p
p
k
( )
( )
( )
( )
( )

0
1
0
1
S e
b
A e
x
j
v
p
j
( )
( )
( )

2
2
2
0
c b h b
o
( ) ( ) ( ) ( ) 0 0 0 0
2

r k a r k b k k
x
p
p x v
( ) ( ) ( ) ( ) ( ), . +

l
l l
1
2
2
0 0

r r r p
r r r p
r p r p r
a
a p
b
x x x
x x x
x x x
p
p
v
( ) ( ) ( )
( ) ( ) ( )
( ) ( ) ( )
( )
( )
( )
0 1
1 0 1
1 0
1
1
0
1
0
0
2
2

+

1
]
1
1
1
1

1
]
1
1
1
1
1

1
]
1
1
K
L
M
L
M
M

11
1
a k
p
( )
S z B z B z
x v q q
( ) ( ) ( / )

2
1 H z b k z
k
q
q
k
( ) ( )

0

1999 by CRC Press LLC

35.1.10.9 Power Spectrum of MA Process
35.1.10.10 Yule-Walker Equation of MA Process

From (35.1.10.3) with and noting that then
MA(q) process is zero for

k

outside

35.2 Signal Modeling

and This means
that the data t exactly to the model over the range See Figure (35.1) for the model. The
system function is (see Section 35.1.10)

35.2.1.2 Matrix Form of Pade Approximation

Note:

Solve for

a

p

(

p

)s rst (the lower part of the matrix) and then solve for

b

q

(

q

)s.

35.2.1.3 Denominator Coefcients (

a

p

(

p

))

From the lower part of 35.2.1.2 we nd

FIGURE 35.1

x

(

n

) modeled as unit sample response of linear shift-invariant system with

p

poles and

q

zeros.
S e B e
x
j
v q
j
( ) ( )

2
2
a k
p
( ) 0 h n b n
q
( ) ( ),

c k b k b r k b k b k b k b
q
q k
q q x v q q v
q k
q q
( ) ( ) ( ), ( ) ( ) ( ) ( ) ( ), + +

l l
l l l l
0
2 2
0

[ , ]. q q

x n a k x n k
b n n q
n q q p
k
p
p
q
( ) ( ) ( )
( ) , , ,
, ,
+

+ +

'

1
0 1
0 1
L
L

h n x n n p q h n n ( ) ( ) , , , , ( ) + < for for 0 1 0 0 L b n n n q
q
( ) . < > 0 0 for and
[ , ]. 0 p q +
H z B z A z
q p
( ) ( ) / ( ).
h(n)
e(n)
+
+
- (n)
x(n)
A
p
(z)
B
q
(z)
H(z) =

x
x x
x x
x q x q x q p
x q x q x q p
x q p x q p x q
( )
( ) ( )
( ) ( )
( ) ( ) ( )
( ) ( ) ( )
( ) ( ) ( )
0 0 0
1 0 0
2 1 0
1
1 1
1
L
L
L
M
L
L
M
L

+ +
+ +

1
]
1
1
1
1
11
1
1
1
1
1
1
1

1
]
1
1
1
1
1
1

1
]
1
1
1
1
1
1
1
1
1
1
1
1
1
2
0
1
0
0
a
a
a p
b
b
b q
p
p
p
q
q
q
( )
( )
( )
( )
( )
( )
M
M
M

1999 by CRC Press LLC

or equivalently nonsymmetric Toeplitz matrix with

x(q) element in the upper left
corner, x
q+1
= vector with its rst element being x(q + 1).
Note:
1. If X
q
is nonsingular, then exists and there is unique solution for the a
p
(p)s:
2. If X
q
is singular and (35.2.1.3) has a solution then X
q
z = 0 has a solution and, hence, there
is a solution of the form
3. If X
q
is nonsingular and no solution exists, we must set a
p
(0) = 0 and solve the equation X
q
a
p
= 0.
35.2.1.4 All Pole Model
(35.2.1.3) becomes
or or
Example 1
nd the Pade approximation of all-pole and second-order model (p =
2, q = 0). From (35.2.1.4) and and a(2) =
1.5. Also and since we obtain
approximate =
Note: Matches to the second order only.
35.2.2 Pronys Method
35.2.2.1 Pronys Signal Modeling
Figure 35.2 shows the system representation.
FIGURE 35.2 System interpretation of Pronys; method for signal modeling.

x q x q x q p
x q x q x q p
x q p x q p x q
a
a
a p
x q
x q
p
p
p
( ) ( ) ( )
( ) ( ) ( )
( ) ( ) ( )
( )
( )
( )
( )
( )
+
+ +
+ +

1
]
1
1
1
1

1
]
1
1
1
1
1

+
+
1 1
1 2
1 2
1
2
1
2
L
L
M
L
M
M
xx q p ( ) +

1
]
1
1
1
1
X a x X
q p q q

+1
,
X
q
1
a X x
p q q

+
1
1
.
a
p

. a a z
p p
+
H z b a k z q
k
p
p
k
( ) ( ) / ( ) , +

1
]
1
1

0 1 0
1
with

x
x x
x p x p x
a
a
a p
x
x
x p
p
p
p
( )
( ) ( )
( ) ( ) ( )
( )
( )
( )
( )
( )
( )
0 0 0
1 0 0
1 2 0
1
2
1
2
L
L
M
L
M
M

1
]
1
1
1
1

1
]
1
1
1
1
1

1
]
1
1
1
1
X a x
0 1 p

a k
x
x k a x k
p
k
p
( )
( )
( ) ( ) ( ) +

1
]
1
1

1
0
1
1
l
l l
x [ . . . . . ] 1 1 5 0 75 0 21 0 18 0 05
T
a a ( ) ( ) . 1 0 2 1 5 + 1 5 1 2 0 75 1 1 5 . ( ) ( ) . ( ) . a a a + or
b x H z z z ( ) ( ) , ( ) /[ . . ] 0 0 1 1 1 1 5 1 5
1 2
+

and hence h n x n ( ) ( )

## x [ , . . . . . ] . 1 1 5 0 75 1 125 2 8125 2 5312

T
1999 by CRC Press LLC
35.2.2.2 Normal Equations
.
Note: The innity indicates a nonnite data sequence.
35.2.2.3 Numerator
35.2.2.4 Minimum Square Error
Example 1
Let otherwise. Find Pronys method to model as the
unit sample response of linear time-important lter with one pole and one zero,
Solutions
From (35.2.2.2) and
Hence and the denominator becomes
=
Numerator Coefcients
The minimum square error is +
But and For
comparison error =
which gives
35.2.3 Shanks Method
35.2.3.1 Shanks Signal Modeling
Figure 35.3 shows the system representation.

l
l l L l l l
+

1 1
0 1 2 0
p
p x x x
n q
a r k r k k p r k x n x n k k ( ) ( , ) ( , ) , , , ; ( , ) ( ) ( ) ,

b n x n a k x n k n q
q
k
p
p
( ) ( ) ( ) ( ) , , , +

1
0 1L

p q x
k
p
p x
r a k r k
,
( , ) ( ) ( , ) +

0 0 0
1

x n n N x n ( ) , , , ( ) 1 0 1 1 0 for and L x n ( )
H z b b z a z ( ) ( ( ) ( ) ) / ( ( ) ) + +

0 1 1 1
1 1
p a r r r x n N r x n
x x x
n
x
n

1 1 1 1 1 0 1 1 1 1 1 0
2
2
2
, ( ) ( , ) ( , ), ( , ) ( ) , ( , ) ( )
x n N ( ) . 1 2 a r r N N
x x
( ) ( , ) / ( , ) ( ) /( ) 1 1 0 1 1 2 1 A z ( )
1
2
1
1

N
N
z .
b x b x a x
N
N N
( ) ( ) , ( ) ( ) ( ) ( ) . 0 0 1 1 1 1 0 1
2
1
1
1
+

11
0 0
,
( , ) r
x
a r
x
( ) ( , ). 1 0 1 r x n N
x
n
( , ) ( ) 0 0 2
2
2

11
2 1
,
( ) /( ). N N N H z 21, ( )
z +

1 0 05
1
( . ) /( . ) ( ) ( ) ( . ) ( ), . ,
,
1 0 95 0 95 1 0 95
1 1
11
+

z h n n u n
n
and e
x n h n ( ) ( )
n
e n

0
2
4 595 [ ( )] . .
1999 by CRC Press LLC
35.2.3.2 Numerator of H(z)
35.2.4 All-Pole Model-Pronys Method
35.2.4.1 Transfer Function
35.2.4.2 Normal Equations
35.2.4.3 Numerator
minimum error (see 35.2.4.4)
35.2.4.4 Minimum Error
35.2.5 Finite Data Record Prony All-Pole Model
35.2.5.1 Normal Equations
FIGURE 35.3 Shanks method. The denominator A
p
(z) is found using Pronys method, B
q
(z) is found by minimizing
the sum of the squares of the error e(n).
(n) 1
A
p
(z)
g(n) x(n)

x(n)
e(n)
+
B
q
(z)
-

l
l l L l l

0 0
0 1
q
q g xg g
n
b r k r k k q r k g n g n k ( ) ( ) ( ) , , , ; ( ) ( ) ( ),
r k x n g n k g n n a k g n k
xg
n k
p
p
( ) ( ) ( ), ( ) ( ) ( ) ( )

0 1

H z b a k z
k
p
p
k
( ) ( ) / ( ) +

1
]
1
1

0 1
1

l
l l L

<

1
0
1 0 0
p
p x x
x
n
a r k r k k p x n n
r k x n x n k
( ) ( ) ( ) , , , ( ) ,
( ) ( ) ( )
for
b
p p
( ) , 0

p x
k
p
p x
r a k r k +

( ) ( ) ( ) 0
1

l
l l L

1
1 2
p
p x x
a r k r k k p ( ) ( ) ( ) , , , ,
r k x n x n k k x n n n N
x
n k
N
( ) ( ) ( ) , ( ) . < >

0 0 0 for and
1999 by CRC Press LLC
35.2.5.2 Minimum Error
35.2.6 Finite Data Record-Covariance Method of All-Pole Model
35.2.6.1 Normal Equation
35.2.6.2 Minimum Error
Example
use rst-order model: and 35.2.6.1 becomes
For k = 1, 35.2.6.1 becomes and must nd and
From 35.2.6.1 also =
But and with b(0) = 1 so that
the model is
35.3 The Levinson Recursion
35.3.1 The LevinsonDurbin Recursion
35.3.1.1 All-Pole Modeling

p x
k
p
p x
r a k r k +

( ) ( ) ( ) 0
1

l
l l L
l l l

< >
1
0 1 2
0 0 0
p
p x x
x
n p
N
a r k r k k p
r k x n x n k k x n n n N
( ) ( , ) ( , ) , , , ,
( , ) ( ) ( ), , , ( ) . for and
[ ] ( ) ( ) ( , )
min

p x
k
p
p x
r a k r k +

0 0
1

x [ ] , 1
2
L
N T
H z b a z p ( ) ( ) / ( ( ) ), +

0 1 1 1
1
then

l
l l

1
1
1 0 a r r k
x x
( ) ( , ) ( , ). a r r
x x
( ) ( , ) ( , ) 1 1 1 1 0 r
x
( , ) 1 1
r
x
( , ). 1 0 r x n x n x n
x
n
N
n
N
N
( , ) ( ) ( ) ( ) [ ]/[ ], 1 1 1 1 1 1
1 0
1
2 2 2

r
x
( , ) 1 0
n
N
N
x n x n

1
2 2
1 1 1 ( ) ( ) [ ]/[ ]. ( ) ( , ) / ( , ) 1 1 0 1 1 r r
x x
x x ( )

( ) 0 0 H z z ( ) /[ ].

1 1
1

r k a r k k p r a r
x
p
p x p x
p
p x
( ) ( ) ( ) , , , , ( ) ( ) ( ), + +

l l
l l L l l
1 1
0 1 2 0
r k x n x n k k x n n n N
x
n
N
( ) ( ) ( ) , ( ) . < >

0
0 0 0 for and
1999 by CRC Press LLC
35.3.1.2 All-Pole Matrix Format
or symmetric Toeplitz.
35.3.1.3 Solution of (35.3.1.2)
1. Initialization of the recursion
a)
b)
2. For
a)
b) reection of coefcient;
c)
d)
e)
3. (see 35.3.1.1)
35.3.1.4 Properties
1.
j
s produced by solving the autocorrelation normal equations (see Section 35.2.4) obey the
relation
2. If for all j, then minimum phase polynomial (all roots lie
inside the unit circle)
3. If a
p
is the solution to the Toeplitz normal equation (see 35.3.1.2) and
(positive denite) then minimum phase
4. If we choose (energy matching constraint), then the auto-correlation sequences of
x(n) and h(n) are equal for

r r r r p
r r r r p
r r r r p
r p r p r p r
a
x x x x
x x x x
x x x x
x x x x
( ) ( ) ( ) ( )
( ) ( ) ( ) ( )
( ) ( ) ( ) ( )
( ) ( ) ( ) ( )
0 1 2
1 0 1 1
2 1 0 2
1 2 0
1

1
]
1
1
1
1
1
1
L
L
L
M
L
pp
p
p
p
a
a p
( )
( )
( )
1
2
1
0
0
0
M
M

1
]
1
1
1
1
1
1

1
]
1
1
1
1
1
1

R a u u R
p p p
T
p

1 1
1 0 0 , [ , , , ] , L
a r
x 0 0
0 1 0 ( ) , ( )
a
0
0 1 ( ) ,

0
0 r
x
( )

j p 0 1 1 , , , L

j x
i
j
j x
r j a i r j i + + +

( ) ( ) ( ); 1 1
1

j j j +

1
/

For i j a i a i a j i
j j j j
+ +
+ +

1 2 1
1 1
, , , ( ) ( ) ( ); L
a j
j j + +
+
1 1
1 ( ) ;

j j j + +

1 1
2
1 [ ]
b
p
( ) 0

j
1

j
< 1 A z a k z
p
k
p
p
k
( ) ( ) +

1
1
R a u
p p p

1
R
p
> 0
A z
p
( )
b
p
( ) 0
k p .
1999 by CRC Press LLC
35.3.2 Step-Up and Step-Down Recursions
35.3.2.1 Step-Up Recursion
The recursion nds a
p
(i)s from
j
s.
Steps
1. Initialize the recursion:
2. For
a) For
b)
3.
35.3.2.2 Step-Down Recursion
The recursion nds
j
s from a
p
(i)s.
Steps
1. Set
2. For
a) For
b) Set
c) If
3.
Example
To implement the third-order lter in the form of a lattice structure
we proceed as follows. From step 2) we obtain the second-
order polynomial or

2
= Next we nd and hence
1
= and
= The lattice lter implementation is shown in Figure 35.4.
FIGURE 35.4
a
0
0 1 ( )

j p 0 1 1 , , , L

i j a i a i a j i
j j j j
+ +
+ +

1 2 1
1 1
, , , ( ) ( ) ( ) L
a j
j j + +
+
1 1
1 ( )
b
p
( ) 0

p p
a p ( )

j p p 1 2 1 , , , L

i j 1 2 , , , L a i a i a j i
j
j
j j j
( ) [ ( ) ( )]

+
+
+ + +

1
1
1
1
2 1 1 1

j j
a j ( )

j
1 quit

p
b
2
0 ( )
H z z z z ( ) . . . +

1 0 5 0 1 0 5
1 2 3
a
3 3 3
1 0 5 0 1 0 5 3 0 5 [ , . , . , . ] , ( ) . .
T
a
a
2 2 2
1 1 2 [ ( ) ( )] a a
T
a
a
a
a
a
a
2
2 3
2
3
3
3
3
3
1
2
1
1
1
2
2
1
1
1 0 25
0 5
0 1
0 5
0 1
0 5
0 6
0 2
( )
( )
( )
( )
( )
( )
.
.
.
.
.
.
.
.

1
]
1

1
]
1

1
]
1

1
]
1
1

1
]
1
+

1
]
1

1
]
1

1
]
1
,
a
2
2 0 2 ( ) . . a a a
1
2
2 2 2 2
1
1
1
1 1 0 5 ( ) [ ( ) ( )] .

a
1
1 0 5 ( ) .
[ . . . ] . 0 5 0 2 0 5
T
y(n)
x(n)
-0.5 =
3
-0.5 =
3
0.2 =
2
0.2 =
2
0.5 =
1
0.5 =
1
z
-1
z
-1
1999 by CRC Press LLC
35.3.3 Cholesky Decomposition
35.3.3.1 Cholesky Decomposition
Hermitian Toeplitz autocorrelation matrix,
lower triangular,
35.3.4 Inversion of Toeplitz Matrix
35.3.4.1 Inversion of Toeplitz Matrix
nonsingular Hermitian matrix (see 35.3.1.2), A
p
= see 35.3.3.1, D
p
= see
35.3.3.1, b = arbitrary vector.
35.3.5 Levinson Recursion for Inverting Toeplitz Matrix
35.3.5.1 Levinson Recursion
R
p
x = b, R
p
= see 35.3.1.2 (known), b = arbitrary vector, x = unknown vector
Recursion:
1. Initialize the recursion
a)
b)
c)
2. For
a)
b)
c) ;
d)
e)
f)
g)
h)
i)
R L D L
p p p p
H

A L A
p
p
p
p p p
H
a a a p
a a p
a p

1
]
1
1
1
1
1
1

1 1 2
0 1 1 1
0 0 1 2
0 0 0 1
1 2
2
( ) ( ) ( )
( ) ( )
( ) ,
L
L
L
M M M M
L

D D R R A R A D
p p p p p p
H
p p p
diag { }, det det , . . . ,
0 1
35 3 1 2 L see
R x b R A D A
p p p p p
H

,
1 1
a
0
0 1 ( )
x b r
x 0
0 0 0 ( ) ( ) / ( )

0
0 r
x
( )

j p 0 1 1 , , , L

j x
i
j
j x
r j a i r j i + + +

( ) ( ) ( ) 1 1
1

j j j +

1
/

For i j a i a i a j i
j j j j
+ +
+ +

1 2 1
1 1
, , , ( ) ( ) ( ) L
a j
j j + +
+
1 1
1 ( )

j j j + +

1 1
2
1 [ ]

j
i
j
j x
x i r j i +

1
1 ( ) ( )
q b j
j j j + +
+
1 1
1 [ ( ) ]/

For i j x i x i q a j i
j j j j
+ +
+ + +

0 1 1
1 1 1
, , , ( ) ( ) ( ) L
x j q
j j + +
+
1 1
1 ( )
1999 by CRC Press LLC
Example
1. Initialization:
2. For =
and hence
3. For j =1
+
35.4 Lattice Filters
35.4.1 The FIR Lattice Filter
35.4.1.1 Forward Prediction Error
forward prediction error, data, all-pole lter coefcients.
35.4.1.2 Square of Error
35.4.1.3 Z-Transform of the p
th
-Order Error
forward prediction error lter (all pole), see (35.4.1.1).
Note: The output of the forward prediction lter is when the input is x(n).
35.4.1.4 (j+1) Order Coefcient
see Section 35.3.1
8 4 2
4 8 4
2 4 8
0
1
2
18
12
24

1
]
1
1
1

1
]
1
1
1

1
]
1
1
1
x
x
x
( )
( )
( )

0 0
0 8 0 0 0 18 8 9 4 r x b r ( ) , ( ) ( ) / ( ) / /
j r

1
]
1

1
]
1
0 1 4 4 8 1 2
1 1
1 2
0 1 0 0 1
1
, ( ) , / / / ,
/
,

a
1 0 1
2
1
[ ]

8 1 1 4 6 0 1 9 4 4 9 1 12 9 6 1 2
0 0 1 0 1
[ / ] , ( ) ( ) ( / ) , [ ( ) ] / ( ) / / , x r q b
x
1
0
1
1
0
0
1
1
9 4
0
1 2
1 2
0
2
1 2

1
]
1
+

1
]
1

1
]
1
+

1
]
1

1
]
1
x
q
a ( ) ( ) /
( / )
/
/
,

1 1 2 2
1
2 1 1 2 1 2 4 0 0
0
+ +

1
]
1
r a r ( ) ( ) ( ) ( / ) , , , a
a

2 1 1 1
6 0 , [ ( ) x
x
r
r
T
1
1
2
1
2 1 2 2 4 4 2 6 ( )]
( )
( )
[ / ][ ] ,

1
]
1
+ q b
2 1 2
2 12 6 6 1 [ ( ) ]/ [ ]/ , x
2
1
1
0
1
0

1
]
1
1
1
x
x
( )
( )
q
a
a
2
2
2
2
1
1
2
1 2
0
6
0
1 2
1
2
5 2
6
( )
( ) / / /

1
]
1
1
1

1
]
1
1
1
+

1
]
1
1
1

1
]
1
1
1
e x n a k x n k
p
f
k
p
p
+

( ) ( ) ( )
1
x n ( ) a k
p
( )

p
n
p
f
e n
+

0
2
( )
E z A z X z A z a k z
p
f
p p
k
p
p
k
( ) ( ) ( ), ( ) ( ) +

1
1
e
p
f
a i a i a j i
j j j j j + +

+
+ +
1 1 1
1 ( ) ( ) ( ).
1999 by CRC Press LLC
35.4.1.5 (j+1) Order Coefcient in the Z-domain
35.4.1.6 (j+1) Order Error in the Z-domain
35.4.1.7 (j+1) Order of Error (see 35.4.1.6)
(inverse Z-transform of (35.4.1.6), j
th
order of backward prediction
error
35.4.1.8 Backward Prediction Error
35.4.1.9 (j+1) Backward Prediction Error
35.4.1.10 Single Stage of FIR Lattice Filter
See Figure 35.5
35.4.1.11 p
th
-Order FIR Lattice Filter
See Figure 35.6
Note:
FIGURE 35.5 One-stage FIR lattice lter.
FIGURE 35.6 p
th
-order FIR lattice lter.
A z A z z A z
j j j
j
j + +
+
+
1 1
1
1 ( ) ( ) [ ( / )]
( )

E z E z z E z E z z X z A z E z A z X z E z A z X z
j
f
j
f
J j
b
j
b
j j
f
j j
f
j +

+

+ +
+
1
1
1
1
1 1
1 ( ) ( ) ( ), ( ) ( ) ( / ), ( ) ( ) ( ), ( ) ( ) ( )
e n e n e n
j
f
j
f
j j
b
+ +
+
1 1
1 ( ) ( ) ( ) e
j
b

e n x n j a k x n j k
j
b
k
j
j
( ) ( ) ( ) ( ) + +

1
e n e n e n
j
b
j
b
j j
f
+ +

+
1 1
1 ( ) ( ) ( )
e n e n x n
f b
0 0
( ) ( ) ( )
1999 by CRC Press LLC
35.4.1.12 All-Pass Filter
which indicates that
is the output of an all-pass lter with input
35.4.2 IIR Lattice Filters
35.4.2.1 All-pole Filter
produces a response to the input (see Section 35.4.1
for denition).
Forward and Backward Errors
(see 35.4.1.7), (see 35.4.1.9). See Figure
35.7 for a pictorial representation of the single stage of an all-pole lattice lter. Cascading p in such a
section we obtain the p
th
-order all-pole lattice lter.
35.4.2.2 All-Pass Filter
35.4.3 Lattice All-Pole Modeling of Signals
35.4.3.1 Forward Covariance Method
35.4.3.1.1 Reection Coefcients
,
< > = dot product,
FIGURE 35.7 Single stage of an all-pole lattice lter.
H z A z A z z A z a k z E z H z E z
ap p
R
p
p
p
k
p
p
k
p
b
ap p
f
( ) ( ) / ( ) [ ( / )]/ ( ) , ( ) ( ) ( ) +

1
]
1
1

1 1
1
e n
p
b
( ) e n
p
f
( ).
1 1
1
0
1
A z
E z
E z
a k z
p
f
p
f
k
p
p
k
( )
( )
( )
( )

+

e n
f
0
( ) e n
p
+
( )
e n e n e n
j
f
j
f
j j
b
( ) ( ) ( )
+ + 1 1
1 e n e n e n
j
b
j
b
j j
f
+ +

+
1 1
1 ( ) ( ) ( )
e
j+1
(n)

j+1
z
-1
b
e
j+1
(n)
f

j+1
*
e
j
(n)
b
e
j
(n)
f
e
j+1
(n)
b
e
j+1
(n)
f
e
j
(n)
b
e
j
(n)
f

j+1
H z z
A z
A z
ap
p p
p
( )
( / )
( )

j
f n j
N
j
f
j
b
n j
N
j
b
j
f
j
b
j
b
e n e n
e n

1 1
1
2
1 1
1
2
1
1
( )[ ( )]
( )
, e e
e

e
j
f
j
f
j
f
j
f T
e j e j e N + [ ( ) ( ) ( )] , 1 L

e
j
b
j
b
j
b
j
b T
e j e j e N

1 1 1 1
1 1 [ ( ) ( ) ( )] L
1999 by CRC Press LLC
35.4.3.1.2 Forward Covariance Algorithm
1. Given j 1 reection coefcients
2. Given the forward and backward prediction errors
3. j
th
reection coefcient is found from 35.4.3.1.1
4. Using lattice lter the (j 1)
st
order forward and backward prediction errors are updated to form
5. Repeat the process
Example
Given
Initialization: Next, evaluation of the norm
.
Inner product between
.
From 35.4.3.1.1
.
Updating forward prediction error (set in 4.1.7): hence,
unit step function. First-order modeling error (35.4.1.2):
are zero. First-order backward prediction error (set j = j 1 in
4.1.9): or Second
reection coefcient:
since Similar steps
Continuing and hence For nding a
i
s see Section 35.4.1.

j
f f f
j
f T

1 1 2 1
[ ] L
e n e n
j
f
j
b
1 1
( ), ( )
e n e n
j
f
j
b
( ) ( ) and
x n n N
n
( ) , , . < < 0 0 1

e n e n x n n N
f b n
0 0
0 1 ( ) ( ) ( ) , , , , . L
e n e n
f b
n
N
b
n
N
n
N
0 0
2
1
0
2
0
1
2
2
2
1 1
1
1
( ): [ ( )]

e n e n e n e n
f b f b
n
N
f b
n
N
n
N
0 0 0 0
1
0 0
0
1
2
2
2
1 1
1
1
( ) ( ): , ( ) ( ) and

e e

1
0 0
0
2
f
f b
b

e e
e
,

j j 1 e n e n e n
j
f
j
f
j
f
j
b
( ) ( ) ( ), +
1 1
1
e n u n u n n u n
f n n
1
1
1 ( ) ( ) ( ) ( ) ( ), ( )

1
1
1
2
0 1
f
n
N
f
e n N

[ ( )] ( ) ( ) since L
e n e n e n
j
b
j
b
j j
f
( ) ( ) ( ) +

1 1
1 e n e n e n u n u n
b b f n n
1 0 1 0
1 1
1 1 ( ) ( ) ( ) ( ) ( ). +
+

2
1 1
1
2
0
f
f b
b

e e
e
,
e n n
f
1
0 0 ( ) . > for e n e n n
f b f
2 1 3
0 ( ) ( ) ( ) . and

j
f
j > 0 1 for all

f T
[ ] . 0 0 L
1999 by CRC Press LLC
35.4.3.2 The Backward Covariance Method
35.4.3.2.1 Reection Coefcients
The steps are similar to those in section 35.4.3.1: Given the rst j 1 reection coefcients =
and given the forward and backward prediction errors the j
th
reec-
tion coefcient is computed. Next, using the lattice lter, the (j 1)
st
-order forward and backward errors
are updated to form the j
th
-order errors, and the process is repeated.
35.4.3.3 Burgs Method
35.4.3.3.1 Reection Coefcients
,
< , > = dot product, es are the forward and backward prediction errors.
35.4.3.3.2 Burg Error
.
The Burgs method has the same steps for computing the necessary unknown as in Section 35.4.3.1 and
35.4.3.2.
35.4.3.3.3 Burgs Algorithm
1. Initialize the recursion:
a)
b)
2. For j = 1 to p:
a)
For n = j to N:
b)
c) ,
d)

j
b n j
N
j
b
j
b
n j
N
j
f
j
f
j
b
j
f
e n e n
e n

1 1
1
2
1 1
1
2
1 ( )[ ( )]
( )
, e e
e

b

[ ] ,
1 2 1
b b
j
b T
L

e n e n
j
f
j
b
1 1
( ) ( ) and

j
B n j
N
j
f
j
b
n j
N
j
f
j
b
j
f
j
b
j
f
j
f
e n e n
e n e n

+

+

2 1
1
2
1 1
1
2
1
2
1 1
1
2
1
2
( )[ ( )]
[ ( ) ( ) ]
, e e
e e

j
B
j
B
j
f
j
f
j
B B
n
N
f b
n
N
e j e N e n e n x n +

[ ( ) ( ) ][ ], [ ( ) ( ) ] ( )
1 1
2
1
2 2
0
0
0
2
0
2
0
2
1 1 2
e n e n x n
f b
0 0
( ) ( ) ( ) =
D x n x n
n
N
1
1
2 2
2 1

[ ( ) ( ) ]

j
B
j
n j
N
j
f
j
b
D
e n e n

2
1
1 1
( )[ ( )]
e n e n e n e n e n e n
j
f
j
b
j
B
j
b
j
b
j
b
j
B
j
f
( ) ( ) ( ), ( ) ( ) ( ) ( ) + +

1 1 1 1
1 1
D D e j e N
j j j
B
j
f
j
b
+

1
2 2 2
1 ( ) ( ) ( )

j
B
j j
B
D [ ] 1
2

## 1999 by CRC Press LLC

Example 1
Given unit step function. From Example 1 of (35.4.3.1.2)
.
Similarly, from Section 35.4.3.2
.
Therefore,
.
Update the errors:
Hence,
.
Zero-order error:
,
rst-order error
.

x n u n n N u n
n
( ) ( ), , , , ( ) 0 1L

e e e
0 0
2
2 0
2
2
2
1
1
1
1
f b
N
b
N
,

and
e
0
2
2
2
2
1
1
f
N

1
0 0
0
2
0
2 2
2
2
1
B
f b
f b

+

+
e e
e e
,

e n e n e n u n u n
e n e n e n u n u n
f f B b n B n
b b B f n B n
1 0 1 0 1
1
1 0 1 0
1
1
1 1
1 1
( ) ( ) ( ) ( ) ( ),
( ) ( ) ( ) ( ) ( ),
+ +
+ +

e
e
e e
1
2
2
1
2 4 2
2 1
2 2
1
2
2
1
2 2
2 1
2 2
1 1
2
1 1
1
1
1
1 1
1
1
1
f
n
N
f
N
b
n
N
b
N
f b
n
N
f f
e n
e n
e n e n

+

+

[ ( )] ( )
( )
,
[ ( )] ( )
( )
,
, ( ) ( )
( )
( )

2 2
2 1
2 2
1
1
1
( )
( )
.
( ) N

2
1 1
1
2
1
2
2
4
2
2
1
B
f b
f b

+

+
e e
e e
,

0
0
2
2 1
2 2
2 2
1
1
2
1
B
n
N
N
x n

( )
( )

1 0 0
2
0
2
1
2
0
2
1
2
2 2
0 1 1 1 1 1
B B f b B B N B
e e N + [ [ ( )] [ ( )] ][ ] [ ][ ] ( ) / ( )
1999 by CRC Press LLC
35.4.3.4 Modied Covariance Method
35.4.3.4.1 Normal Equation
modied covariance error
Example 1
Given data For second-order lter p = 2,
,
(a) insert-
ing values of from (a) and solving for a(1) and a(2) we obtain
Hence, the all-pole model has
35.4.4 Stochastic Modeling
35.4.4.1 Forward Reection Coefcients
,
E stands for expectation.
35.4.4.2 Backward Reection Coefcients
35.4.4.3 Burg Reection Coefcient

k
p
x x p x x
x
n p
N
r k r p k p a k r r p p
p r k x n k x n

+ +

1
0
1
[ ( , ) ( , )] ( ) [ ( , ) ( , )],
, , , ( , ) ( ) ( )],
l l l l
l L l l

p
M
+ + +

r r p p a k r k r p p k
x x
k
p
p x x
( , ) ( , ) ( )[ ( , ) ( , )] 0 0 0
1

x n u n n N
n
( ) ( ), , . 0 L

r k c
x
n
N
n k n k
n
N
n k
( , ) l
l l l

2 2
2 4

c
N

[ ]/[ ],
( )
1 1
2 1 2

r r r r
r r r r
a
a
r r
r r
x x x x
x x x x
x x
x x
( , ) ( , ) ( , ) ( , )
( , ) ( , ) ( , ) ( , )
( )
( )
( , ) ( , )
( , ) ( , )
1 1 1 1 1 2 0 1
2 1 1 0 2 2 0 0
1
2
1 0 2 1
2 0 2 0
+ +
+ +

1
]
1

1
]
1

+
+

1
]
11
,

r k
x
( , ) l a a ( ) ( ) / ( ) . 1 1 2 1
2
+ and
A z z z ( ) [( ) / ] . + +

1 1
2 1 2

j
f j
f
j
b
j
b
E e n e n
E e n

{ ( )[ ( )] }
{ ( ) }
1 1
1
2
1
1

j
b j
f
j
b
j
f
E e n e n
E e n

{ ( )[ ( )] }
{ ( ) }
1 1
1
2
1

j
B j
f
j
b
j
f
j
b
E e n e n
E e n E e n

+

2
1
1
1 1
1
2
1
2
{ ( )[ ( )] }
{ ( ) } { ( ) }
1999 by CRC Press LLC
References
Hayes, M. H., Statistical Digital Signal Processing and Modeling, John Wiley & Sons Inc., New York,
NY, 1996.
Kay, S., Modern Spectrum Estimation: Theory and Applications, Prentice-Hall, Englewood Cliffs, NJ,
1988.
Marple, S. L., Digital Spectral Analysis with Applications, Prentice-Hall, Englewood Cliffs, NJ, 1987.