Problem Session (3) for Chapter 4 Signal Modeling

Solutions to Problems 4.1, 4.2, 4.10, 4.25, 4.23 and 4.24

4.1. Find the Padé approximation of second-order to a signal x(n) that is given by
x = [2 , 1, 0 , − 1, 0, 1, 0, − 1, 0, 1, ... ]T
i.e., x(0) = 2, x(1) = 1, x(2) = 0, and so on. In other words, using an approximation of the form
b(0) + b(1) z −1 + b( 2) z −2
H (z) =
1 + a(1) z −1 + a ( 2) z − 2
find the coefficients b(0), b(1), b(2), a(1), and a(2).

Solution
Given x = [2 , 1, 0 , − 1, 0, 1, 0, − 1, 0, 1, ... ]T ,
b(0) + b(1) z −1 + b( 2) z −2
find H ( z ) = using Padé approximation.
1 + a(1) z −1 + a ( 2) z − 2

From H(z), it follows that p=2, and q =2 so that there are p+q+1=5 coefficients b(0), b(1), b(2), a(1),
and a(2) to be found.
Based on p=2 and q =2, we can form the following equations in matrix form to find the 5 coefficients,
x (0 ) 0 0 b(0)
x (1) x (0) 0 1 b(1)
x ( 2) x (1) x (0) a(1) = b( 2)
−−− −−− −−− −−
a ( 2)
x (3) x ( 2) x (1) 0
x ( 4) x (3) x ( 2) 0
From the last p=2 equations for a(k) and inserting x(n), we have
1
−1 0 1 0 0 1 a(1) −1 a (1) 0
a(1) = => =− => =
0 −1 0 0 − 1 0 a ( 2) 0 a ( 2) 1
a ( 2)
From the first q+1=3 equations for b(k), we have
b(0) 2 0 0 1 2
b(1) = 1 2 0 0 = 1
b( 2) 0 1 2 1 2
The desired model is
2 + z −1 + 2 z −2
H (z) =
1+ z−2

4.2. A third-order all-pole Padé approximation to a signal x(n) has been found to be
1
H (z) =
1 + 2 z + z − 2 + 3z − 3
−1

What information about x(n) can be determined from this model?

Solution
1
Given H ( z ) = obtained from Padé approximation, find x(n) from H(z).
1 + 2 z −1 + z − 2 + 3z − 3

1
From given H(z) we have b(0)=1, a(1)=2, a(2)=1, and a(3)=3. From the Padé approximation method,
we have
x (0 ) 0 0 0 b(0)
1
−− −− −− −− −−
a(1)
x (1) x (0) 0 0 = 0
a ( 2)
x ( 2) x (1) x (0) 0 0
a(3)
x (3) x ( 2) x (1) x (0) 0
From the first equations we have
x(0) = b(0) = 1; x(0) = 1
x(1) + a(1)x(0) = 0; => x(1) = – a(1)x(0) = – 2
x(2) + a(1)x(1) + a(2)x(0)=0; => x(2) = – a(1)x(1) – a(2)x(0) = 3
x(2) + a(1)x(2) + a(2)x(1) + a(3)x(0)=0; x(2) = – a(1)x(2) – a(2)x(1) – a(3)x(0) = – 7
The model contains the information about x(n) for n=0, 1, 2, and 3 as follows
x = [1, - 2, 3 - 7 ]T

4.10. We want to model a signal x(n) using an all-pole model of the form
b(0)
H (z) = p
1 + z−N a p (k ) z −k
k =1
b( 0 )
For example, with p = 2 the model is H ( z ) = − N −1
1 + a(1) z + a ( 2) z − N − 2
Derive the normal equations that define the coefficients a p (k ) that minimize the Prony error
∞
εp = | e( n ) |2
n=0
p
where e( n ) = x ( n ) + a p (l ) x ( n − l − N )
l =1
and derive an expression for the minimum error.

Solution
b(0)
Prony's method to model x(n) using the all pole model: H ( z ) = p
1 + z−N a p (k ) z −k
k =1
(i) derive the normal equations for finding a p (k ) that minimizes
∞ p
εp = | e( n ) |2 , where e( n ) = x ( n ) + a p (l ) x ( n − l − N )
n=0 l =1
(ii) derive an expression for the minimum error.

To minimize the square error, we may set

∂ε p
= 0 , k=1, 2, …, p; (1)
∂a *p ( k )
∂ε p , q ∂ ∞
∂ ∞ ∞
∂e* ( n )
= | e( n ) |2
= e ( n ) e *
( n ) = e( n ) *
∂a *p ( k ) ∂a p ( k ) n = 0
*
∂a p ( k ) n = 0
*
n=0 ∂a p ( k )
∞ ∞
∂
p
= e( n ) x *
( n ) + a *
( k ) x *
( n − k − N ) = e( n ) x * ( n − k − N ) = 0
∂a *p ( k )
p
n =0 k =1 n =0

which leads to the orthogonality principle

2
 ∞
e( n ) x * ( n − k − N ) = 0 , k=1, 2, …, p (2)
n=0
p
Inserting e( n ) = x ( n ) + a p (l ) x ( n − l − N ) in the above equation, we have
l =1
∞ p
x(n) + a p (l ) x ( n − l − N ) x * ( n − k ) = 0 , or equivalently,
n=0 l =1
∞ p ∞
x(n ) x * (n − k − N ) + a p (l ) x ( n − l − N )x * ( n − k − N ) = 0
n=0 l =1 n=0
Defining
∞
rx ( k + N , l + N ) = x(n − l − N ) x * (n − k − N ) (3)
n =0
we obtain the normal equations
p
a p (l )rx ( k + N , l + N ) = − rx ( k + N ,0) , k=1, 2, …, p (4)
l =1
p ∞
Using e( n ) = x ( n ) + a p (l ) x ( n − l − N ) in ε p = | e( n ) |2 , the Prony’s error becomes
l =1 n=0
*
∞ ∞ ∞ p
εp = | e( n ) |2 = e( n )e* ( n ) = e( n ) x ( n ) + a p (k ) x(n − k − N )
n =0 n=0 n=0 k =1
*
∞ ∞ p
= e( n ) x ( n ) +
*
e( n ) a p (k ) x(n − k − N )
n =0 n=0 k =1
∞ p ∞
= e( n ) x * ( n ) + a *p ( k ) e( n )x * ( n − k − N )
n =0 k =1 n=0
∞
Using the orthogonality principle, i.e., e( n ) x * ( n − k ) = 0 , for k=1, 2, …, p, in Eq. (2), we may find
n=0
the minimum error,
∞ ∞ p
εp = e( n ) x * ( n ) = x( n) + a p (l ) x( n − l − N ) x* ( n)
n=0 n =0 l =1

∞ p
= x(n) x * (n) + a p (l ) x ( n − l − N )x * ( n )
n =0 k =1
∞
Using rx ( k + N , l + N ) = x ( n − l − N ) x * ( n − k − N ) , the minimum error can be expressed as
n =0
p
ε p = rx (0,0) + a p (l )rx (0, l + N )
l =1

4.25. Suppose that the first five values in the autocorrelation sequence for the process x(n) are
rx = [3, 9 / 4, 9 / 8, 9 / 16, 9 / 32, ...]T
(a) Use the modified Yule-Walker equation method to find an ARMA (1,1) model for x(n).
(b) Are the given values in the autocorrelation sequence consistent with the model that you found in
part (a)?

3
Solution
Given a process x(n) with rx = [3, 9 / 4, 9 / 8, 9 / 16, 9 / 32, ...]T ,
(a) use the MYWE to find an ARMA (1,1) model for x(n), i.e., find b(0), b(1), a(1), and a(2)
in the related system function
b(0) + b(1) z −1
H (z) =
1 + a (1) z −1
from which we see p=1 and q=1.

(b) rx ( k ) = rxˆ ( k ) ??
Solution for (a)
• From p=1 and q=1, the Yule-Walker equations are of the form
rx (0) rx* (1) c ( 0)
rx (1) rx (0) 1 c(1)
=
−−− −−− a(1) −−
rx ( 2) rx (1) 0
• The modified Yule-Walker equation (the last equation) gives us
9 9 1
rx (1)a (1) = − rx ( 2) ; i.e., a(1) = − rx ( 2) rx (1) = =−
8 4 2
• From the first two equations and noting that rx (k ) is real-valued, we have
rx (0) rx (1) 1 c ( 0) c ( 0) 3 49 1 15 8
= => = =
rx (1) rx (0) a(1) c(1) c(1) 49 3 −1 2 34
From a(1), c(0) and c(1), we may have
A* (1 / z * ) = 1 + a * (1) z = 1 − z and [C ( z )]+ = c(0) + c(1) z −1 = + z −1
1 15 3
2 8 4
which give
[C ( z )]+ A* (1 / z* ) = 15 + 3 z −1 1 − 1 z = − 15 z + 3 + 3 z −1
8 4 2 16 2 4
Taking the causal part of [C ( z )]+ A* (1 / z * ) , we obtain

[P ( z )] = [[C ( z )] A (1 / z )] = 23 + 43 z
y + q +
*
p
*
+
−1

which is the causal part of Py ( z ) = B( z )B * (1 / z * ) .

From the symmetry Py ( z ) = Py* (1 / z * ) , we may have
3 3 3
Py (z ) = z + + z −1
4 2 4
Spectral factorization of Py (z ) leads to

Py ( z ) = B( z )B * (1 / z * ) =
3
4
( )
1 + z −1 (1 + z )
Thus, we have

B( z )
2
3
(
1 + z −1 )
3
(1 + z −1 )
B( z ) 2
The desired ARMA(1, 1) model is H ( z ) = =
A( z ) 1
1 − z −1
2
Solution for (b)
The model xˆ ( n ) is an ARMA(1, 1) process, which can be described by the Yule-Walker equations

4
 c( k ); k = 0,1
rxˆ ( k ) + a (1)rxˆ ( k − 1) =
0; k ≥2
1 15 3
where a (1) = − , c(0) = , and c(1) =
2 8 4
1 15
k = 0 : rxˆ (0) − rxˆ (1) = ; 1 − 0.5 rxˆ (0) 15 8 rxˆ (0) 3
2 8 ; => = ; => =
1
k = 1 : rxˆ (1) − rxˆ (0) = ;
3 − 0.5 1 rxˆ (1) 34 rxˆ (1) 94
2 4
1 1 9
k = 2: rxˆ ( 2) − rxˆ (1) = 0 ; => rxˆ ( 2) = rxˆ (1) =
2 2 8
1 1
k: rxˆ ( k ) − rxˆ ( k − 1) = 0 ; => rxˆ ( k ) = rxˆ ( k − 1)
2 2
1 9
rxˆ (3) = rxˆ ( 2) =
2 16
1 9
rxˆ ( 4) = rxˆ (3) =
2 32
Conclusion: the given values of rx (k ) of the process x(n) are equal to the values of rxˆ ( k ) from the
ARMA(1, 1) model found in (a). The ARMA(1, 1) model xˆ ( n ) matches the given process x(n)
perfectly. Thus, the given process is an ARMA(1, 1) process.

4.23. If rx (0) = 1 , rx (1) = 0.5 , and rx ( 2) = 0.75 , find the values of a(1), a(2) and b(0) in the following
AR(2) model for x(n),
xˆ ( n ) + a (1) xˆ ( n − 1) + a( 2) xˆ ( n − 2) = b(0)w( n )
where w(n) is unit variance white noise.

Solution
Given rx (0) = 1 , rx (1) = 0.5 , and rx ( 2) = 0.75 , find a(1), a(2) and b(0) in the model for x(n),
xˆ ( n ) + a (1) xˆ ( n − 1) + a( 2) xˆ ( n − 2) = b(0)w( n )

• The system function for the AR(2) model can be expressed as

b(0)
H (z) =
1 + a (1) z −1 + a( 2) z − 2
• Noting that p=2 and q=0, the Yule-Walker equations are the following form
rx (0) rx* (1) rx* ( 2) c ( 0) 1 0.5 0.75 c ( 0)
−−− −− −−− 1 −− −− −− −−− 1 −−
rx (1) rx (0) rx* (1) a (1) = 0 => 0.5 1 0.5 a (1) = 0
rx ( 2) rx (1) rx (0) a( 2) 0 0.75 0.5 1 a( 2) 0

• The modified Yule-Walker equations give us

1 0.5 a (1) 0.5 a (1) 16
=− => =−
0.5 1 a( 2) 0.75 a ( 2) 23

5
From the first equation for c(k), we have
1 2 5
c(0) = 1 − × 0.5 − × 0.75 =
6 3 12
2 5
• Since c(0) = b(0) , then b(0) =
12
The desired AR(2) model is
1 2 5
xˆ ( n ) − xˆ ( n − 1) − xˆ ( n − 2) = w( n )
6 3 12

4.24. Use the method of spectral factorization to find a moving average model of order 2 for a process
whose autocorrelation sequence is
rx = [3, 1.5, 1]T
Solution
Given a process with rx = [3, 1.5, 1]T , find a MA(2) model for x(n).
The MA(2) model can be written as
H ( z ) = b(0) + b(1) z −1 + b( 2) z −2
The power spectrum is
[ ][
Px ( z ) = H ( z ) H * (1 / z * ) = b(0) + b(1) z −1 + b( 2) z −2 b(0) + b(1) z + b( 2) z 2 ]
(noting rx (k ) is real)
2 2 2
( −1
)
= b (0) + b (1) + b ( 2) + [b(0)b(1) + b(1)b( 2)] z + z + b(0)b( 2) z −2 + z 2 ( ) (1)
From rx = [3, 1.5, 1] , i.e., rx (0) = 3 , rx (1) = 1.5 and rx ( 2) = 1 we have
T

k =2
Px ( z ) = ( ) ( ) ( ) (
rx ( k ) z − k = rx (0) + rx (1) z −1 + z + rx (1) z − 2 + z 2 = 3 + 1.5 z −1 + z + z − 2 + z 2 ) (2)
k = −2
Comparing Eq. (1) with Eq. (2), we have
b 2 (0) + b 2 (1) + b 2 ( 2) = 3 (3)
b(0)b(1) + b(1)b( 2) = 1.5 (4)
b( 0 ) b( 2 ) = 1 (5)
Inserting b(0) in Eq. (5) into Eqs. (3) and (4) yields, respectively
1 + b 2 (1)b 2 ( 2) + b 4 ( 2) = 3b 2 ( 2) (6)
1.5b( 2)
b(1) = (7)
1 + b 2 ( 2)
Solving Eqs. (6) and (7) for b(1) and b(2) gives
1
b(1) = and b( 2) = 2
2
From Eq. (5) and b( 2) = 2 , it follows that
1
b( 0 ) =
2
The desired MA(2) model is
1 1 −1
H (z) = + z + 2z−2
2 2