effect of colored noise

© All Rights Reserved

3 views

effect of colored noise

© All Rights Reserved

- Linear Algebra
- Unit -1 Matrices Part –a
- 2nd order diff equations
- Asymptotic SNR on Phased-Array MRI Combination Techniques
- Natural Frequency Wind Turbine
- Final Exam Review and Answers
- Jonathan Tennyson, Steven Miller and C. Ruth Le Sueur- TRIATOM: programs for the calculation of ro-vibrational spectra of triatomic molecules
- City Vologiannidis
- 1B Mathematical Methods I Part 1 of 4 (Cambridge)
- ICP_+_TPS_(NM)
- Theorems
- mm-17
- GAIT RECOGNITION BASED ON LDA AND ITS VARIANTS
- Thin walled Closed Section Beams
- MMChapter4_4p8
- Vector Calculus Book
- Web 1018
- Bunn_2002
- Past
- 11111111111

You are on page 1of 5

Don Johnson

This work is produced by OpenStax-CNX and licensed under the

Creative Commons Attribution License 1.0†

When the additive Gaussian noise in the sensors' outputs is colored (i.e., the noise values are correlated

in some fashion), the linearity of beamforming algorithms means that the array processing output r also

contains colored noise. The solution to the colored-noise, binary detection problem remains the likelihood

ratio, but diers in the form of the a priori densities. The noise will again be assumed zero mean, but the

noise vector has non-trivial covariance matrix K : n ∼ N (0, K).

1 T

K −1 n)

e −( 2 n

1

p n (n) = p

det (2πK)

In this case, the logarithm of the likelihood ratio is

M1

T T

(r − s1 ) K −1 (r − s1 ) − (r − s0 ) K −1 (r − s0 ) ≷ 2ln (η)

M0

s1 T K −1 s1 s0 T K −1 s0 M1

rT K −1 s1 − − rT K −1 s0 − ≷ ln (η)

2 2 M0

The sucient statistic for the colored Gaussian noise detection problem is

Υi (r) = rT K −1 si (1)

The quantities computed for each signal have a similar, but more complicated interpretation than in the

white noise case. rT K −1 si is a dot product, but with respect to the so-called kernelK −1 . The eect of the

kernel is to weight certain components more heavily than others. A positive-denite symmetric matrix (the

covariance matrix is one such example) can be expressed in terms of its eigenvectors and eigenvalues.

L

X 1

K −1 = vk v k T

λk

k=1

L

X 1

rT K −1 si = rT vk vk T si

λk

k=1

where λk and vk denote the k th eigenvalue and eigenvector of the covariance matrix K . Each of the con-

stituent dot products is largest when the signal and the observation vectors have strong components parallel

∗ Version 1.2: Aug 29, 2003 2:36 pm -0500

† http://creativecommons.org/licenses/by/1.0

http://cnx.org/content/m11260/1.2/

OpenStax-CNX module: m11260 2

to vk . However, the product of these dot products is weighted by the reciprocal of the associated eigen-

value. Thus, components in the observation vector parallel to the signal will tend to be accentuated; those

components parallel to the eigenvectors having the smaller eigenvalues will receive greater accentuation

than others. The usual notions of parallelism and orthogonality become "skewed" because of the presence

of the kernel. A covariance matrix's eigenvalue has "units" of variance; these accentuated directions thus

correspond to small noise variance. We can therefore view the weighted dot product as a computation that

is simultaneously trying to select components in the observations similar to the signal, but concentrating on

those where the noise variance is small.

The second term in the expressions consistuting the optimal detector are of the form si T K −1 si . This

quantity is a special case of the dot product just discussed. The two vectors involved in this dot product

are identical; they are parallel by denition. The weighting of the signal components by the reciprocal

eigenvalues remains. Recalling the units of the eigenvectors of K , si T K −1 si has the units of a signal-to-noise

ratio, which is computed in a way that enhances the contribution of those signal components parallel to the

"low noise" directions.

To compute the performance probabilities, we express the detection rule in terms of the sucient statis-

tic.

M1 1

rT K −1 (s1 − s0 ) ≷ ln (η) + s1 T K −1 s1 − s0 T K −1 s0

M0 2

The distribution of the sucient statistic on the left side of this equation is Gaussian because it consists as

a linear transformation of the Gaussian random vector r. Assuming the ith model to be true,

T

rT K −1 (s1 − s0 ) ∼ N si T K −1 (s1 − s0 ) , (s1 − s0 ) K −1 (s1 − s0 )

The false-alarm probability for the optimal Gaussian colored noise detector is given by

1 T −1

ln (η) + 2 (s1 − s0 ) K (s1 − s0 )

PF = Q 21 (2)

T −1

(s1 − s0 ) K (s1 − s0 )

As in the white noise case, the important signal-related quantity in this expression is the signal-to-noise

ratio of the dierence signal. The distance interpretation of this quantity remains, but the distance is now

warped by the kernel's presence in the dot product.

The sucient statistic computed for each signal can be given two signal processing interpretations in the

colored noise case. Both of these rest on considering the quantity rT K −1 si as a simple dot product, but with

dierent ideas on grouping terms. The simplest is to group the kernel with the signal so that the sucient

statistic is the dot product between the observations and a modied version of the signal si = K −1 si . This

∼

modied signal thus becomes the equivalent to the unit-sample response of the matched lter. In this form,

the observed data are unaltered and passed through a matched lter whose unit-sample response depends on

both the signal and the noise characteristics. The size of the noise covariance matrix, equal to the number

of observations used by the detector, is usually large: hundreds if not thousands of samples are possible.

Thus, computation of the inverse of the noise covariance matrix becomes an issue. This problem needs to be

solved only once if the noise characteristics are static; the inverse can be precomputed on a general purpose

computer using well-established numerical algorithms. The signal-to-noise ratio term of the sucient statistic

∼

is the dot product of the signal with the modied signal si . This view of the receiver structure is shown in

Figure 1.

http://cnx.org/content/m11260/1.2/

OpenStax-CNX module: m11260 3

Figure 1: These diagrams depict the signal processing operations involved in the optimum detector

when the additive noise is not white. The upper diagram shows a matched lter whose unit-sample

response depends both on the signal and the noise characteristics. The lower diagram is often termed

the whitening lter structure, where the noise components of the observed data are rst whitened, then

passed through a matched lter whose unit-sample response is related to the "whitened" signal.

A second and more theoretically powerful view of the computations involved in the colored noise detector

emerges when we factor covariance matrix. The Cholesky factorization of a positive-denite, symmetric

matrix (such as a covariance matrix or its inverse) has the form K = LDLT . With this factorization, the

sucient statistic can be written as

T

rT K −1 si = D−1/2 L−1 r D−1/2 L−1 si

The components of the dot product are multiplied by the same matrix (D−1/2 L−1 ), which is lower-triangular.

If this matrix were also Toeplitz, the product of this kind between a Toeplitz matrix and a vector would

be equivalent to the convolution of the components of the vector with the rst column of the matrix. If

the matrix is not Toeplitz (which, inconveniently, is the typical case), a convolution also results, but with

a unit-sample response that varies with the index of the outputa time-varying, linear ltering operation.

The variation of the unit-sample response corresponds to the dierent rows of the matrix D−1/2 L−1 running

backwards from the main-diagonal entry. What is the physical interpretation of the action of this lter?

The covariance of the random vector x = Ar is given by Kx = AKr AT . Applying this result to the current

situation, we set A = D−1/2 L−1 and Kr = K = LDLT with the result that the covariance matrix Kx is the

identity matrix! Thus, the matrix D−1/2 L−1 corresponds to a (possibly time-varying) whitening lter:

we have converted the colored-noise component of the observed data to white noise! As the lter is always

linear, the Gaussian observation noise remains Gaussian at the output. Thus, the colored noise problem

is converted into a simpler one with the whitening lter: the whitened observations are rst match-ltered

with the "whitened" signal s+i =D L si (whitened with respect to noise characteristics only) then half

−1/2 −1

Example 1

To demonstrate the interpretation of the Cholesky factorization of the covariance unit matrix as a

time-varying whitening lter, consider the covariance matrix

1 a a2 a3

a 1 a a2

K=

a2 a 1 a

a3 a2 a 1

http://cnx.org/content/m11260/1.2/

OpenStax-CNX module: m11260 4

This covariance matrix indicates that the nosie was produced by passing white Gaussian noise

through a rst-order lter having coecient a: n (l) = an (l − 1)+w (l), where w (l) is unit-variance

white noise. Thus, we would expect that if a whitening lter emerged from the matrix manipulations

(derived just below), it would be a rst-order FIR lter having a unit-sample response proportional

to

1 if l = 0

h (l) = −a if l = 1

0 otherwise

Simple arithmetic calculations of the Cholesky decomposition suce to show that the matrices L

and D are given by

1 0 0 0

a 1 0 0

L=

a2 a 1 0

3 2

a a a 1

1 0 0 0

0 1 − a2 0 0

D=

2

0

0 1−a 0

0 0 0 1 − a2

and that their inverses are

1 0 0 0

−a 1 0 0

−1

L =

0 −a 1 0

0 0 −a 1

1 0 0 0

0 1

−1 1−a2 0 0

D =

1

0 0 0

1−a2

1

0 0 0 1−a2

Because D is diagonal, the matrix D−1/2 equals the term-by-term square root of the inverse of D.

The product of interest here is therefore given by

1 0 0 0

√ −a 1

0 0

1−a2 √1−a2

−1/2 −1

D L =

√ −a

0 √ 1 0

1−a2 1−a2

−a 1

0 0 √

1−a2

√

1−a2

∼

Let r express the product D−1/2 L−1 r. This vector's elements are given by

∼ ∼ 1

r0 = r0 , r1 = √ (r1 − ar0 ) , . . .

1 − a2

http://cnx.org/content/m11260/1.2/

OpenStax-CNX module: m11260 5

Thus, the expected FIR whitening lter emerges after the rst term. The expression could not be

of this form as no observations were assumed to precede r0 . This edge eect is the source of the

time-varying aspect of the whitening lter. If the system modeling the noise generation process

has only poles, this whitening lter will always stabilize - not vary with time - once sucient data

are present within the memory of the FIR inverse lter. In contrast, the presence of zeros in the

generation system would imply an IIR whitening lter. With nite data, the unit-sample response

would then change on each output sample.

http://cnx.org/content/m11260/1.2/

- Linear AlgebraUploaded byMuhammad Javeed
- Unit -1 Matrices Part –aUploaded byveludeepa
- 2nd order diff equationsUploaded byrajesh_pappu
- Asymptotic SNR on Phased-Array MRI Combination TechniquesUploaded byvolarchico
- Natural Frequency Wind TurbineUploaded bytrimohit
- Final Exam Review and AnswersUploaded bySingh Karan
- Jonathan Tennyson, Steven Miller and C. Ruth Le Sueur- TRIATOM: programs for the calculation of ro-vibrational spectra of triatomic moleculesUploaded byPassamm
- City VologiannidisUploaded bysvol7503
- 1B Mathematical Methods I Part 1 of 4 (Cambridge)Uploaded byucaptd3
- ICP_+_TPS_(NM)Uploaded byothersk46
- TheoremsUploaded bymwalders
- mm-17Uploaded bySomasekhar Chowdary Kakarala
- GAIT RECOGNITION BASED ON LDA AND ITS VARIANTSUploaded byAnonymous vQrJlEN
- Thin walled Closed Section BeamsUploaded byrs0004
- MMChapter4_4p8Uploaded bymghgol
- Vector Calculus BookUploaded byJosé Maurício Freire
- Web 1018Uploaded bynitouch3564
- Bunn_2002Uploaded byricitron
- PastUploaded byVanidevi Mani
- 11111111111Uploaded bySyed Zain Bukhari
- Summary1231Alg.pdfUploaded byAnonymous LvO7AhO
- 3 DeformationsUploaded byAymen Hssaini
- Advanced Adjustment TheoryUploaded byLindaBravo
- CourseUploaded byTalha
- Image Restoration MethodUploaded byPrem Bahadur Kc
- Basic Principles of Plate TheoryUploaded byDodi Pamungkas
- Aplicación del Álgebra Lineal al estudio de poblacionesUploaded byAlbertoAlcalá
- Sergei Winitzki-Linear Algebra via Exterior Products-lulu.com (2010)Uploaded byValdir Mendes
- linalg_15_jun_solns_0_0Uploaded byahmed
- Modeling and i Vector and JFAUploaded byVishakha Dikshit

- The Soviet-Israeli War, 1967-1973 the USSR's Military Intervention in the Egyptian-Israeli ConflictUploaded byacoppa
- Roth 2017Uploaded byYasser Naguib
- gat1967.pdfUploaded byYasser Naguib
- A War Too Far.pdfUploaded byMoses Omino
- Call for papers (CFP)Uploaded byYasser Naguib
- Lecture 6Uploaded byYasser Naguib
- lecture6.pptxUploaded byYasser Naguib
- lecture6.pptxUploaded byYasser Naguib
- Good SomethingUploaded byYasser Naguib
- Good something.txtUploaded byYasser Naguib
- Phd ThesisUploaded byYasser Naguib
- Exploiting Spatial Channel Covariance for HybridUploaded byYasser Naguib
- codebook nokiaUploaded byYasser Naguib
- doc yy.txtUploaded byYasser Naguib
- Bajwa Sp Ch Dsp09Uploaded byYasser Naguib
- Gupta 2011Uploaded byYasser Naguib
- Dft and Double CodebookUploaded byYasser Naguib
- Lte Modem ChallengesUploaded byYasser Naguib
- codebook design for lte-adv.pdfUploaded byYasser Naguib
- Whitened Channel EstimationUploaded byYasser Naguib
- Static AlUploaded byYasser Naguib
- cox60Uploaded byYasser Naguib
- GeometricUploaded byYasser Naguib
- Nearest qUploaded byYasser Naguib
- MIMO designUploaded byYasser Naguib
- raghavan.pdfUploaded byYasser Naguib

- Datasheet Trimble PipeDesigner 3D LRUploaded byHaery Brebes
- PDF. Definition, consequences of Frustration (1).pdfUploaded byGalia Maria Medina Bravo
- E3_5.5.1_Lab Basic Spanning Tree ProtocolUploaded byMagfur Ramdhani
- Cheaters 1Uploaded byTom Marchant
- Engaging Organizational Ecosystems in Inclusive Business - Reficco, VernisUploaded byEzequiel Reficco
- Chapter 5Uploaded byShariful Islam
- Cpe Cm White Paper en v1.1Uploaded byPraveen
- Parallel Self Timed AdderUploaded byjayaprasadkalluri
- zxasdUploaded byZaid Hadi
- ROBOTICS.docxUploaded bySurendra Saini
- pv mpptUploaded bysakridj
- SEO-Trends-017.pdfUploaded byDaisy I. Priya
- Pauli Master EquationUploaded byPandora
- Musean HypernumbersUploaded bystimoceiver
- Eligibility and Procedure to Apply for a New Ration CardUploaded byRajbharath Raju
- Explain Physical Database Design in PDFUploaded byKaylon
- Ve Diy StrobeUploaded byasa2034
- Project Execution PlanUploaded byThanh
- Naveen Android ResumeUploaded byJanga Vardhan Reddy
- advalg11.pdfUploaded byKasapa
- settUploaded byapi-123797029
- Welding Electrode InventoryUploaded byMani Ponnuswamy
- file organizationUploaded byakbisoi1
- About SAP GatewayUploaded byDinakar Babu Janga
- TAT AnalysisUploaded bySrinivas Polikepati
- GOVPUB-C13-bd61ca79afcafb19c48490fcc9e066ac.pdfUploaded bykilmaster
- ￼mod modsUploaded byOD OD
- HCIDesignRules_April2012.pdfUploaded byAn Mwangi
- 2 Muhammad RehanUploaded byengrzee5516
- 1559708341306_Ammended NPC.docxUploaded byBhing Capistrano Reyes