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Dr.Sudharsan P
sudharsan@nitt.edu
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Predict x[n] from previous samples
p
Predicting nth sample as a
ˆ =
X
weighted sum of previous x[n] αk x[n − k]
samples k=1
p
X
Error = Observed - Calculated e[n] = x[n] − αk x[n − k]
k=1
p
X
E (z) = X (z) − αk z −k X (z)
k=1
E (z)
X (z) = p
αk z −k
P
1−
k=1
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Minimize mean squared error
X X p
X
2
M= e [n] = (x[n] − αk x[n − k])2
n n k=1
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Replace x[n] with sn [m] and j with i
p
X X X
αk sn [m − i]sn [m − k] = sn [m]sn [m − i]
k=1 m m
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Φα = φ
Φ is a symmetric matrix.
Φ = VDVT
j
X
Φn (i, j) = vik dk vjk , 1 ≤ j ≤ i − 1 (1)
k=1
j−1
X
Φn (i, j) = vik dk vjk + vij dj vjj , 1 ≤ j ≤ i − 1
k=1
vjj=1
j−1
X
vij dj = Φn (i, j) − vik dk vjk , 1 ≤ j ≤ i − 1
k=1
https://en.wikipedia.org/wiki/Cholesky_decomposition#LDL_decomposition_2
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When i=j, from equation 1,
i
X
Φn (i, i) = vik2 dk
k=1
Since vii=1
i−1
X
di = Φn (i, i) − vik2 dk
k=1
d1 = Φn (1, 1)
2
d2 = Φn (2, 2) − v21 d1
v21 d1 = Φn (2, 1) We have to get v21 after this
step (we need v_{j,j-1} in
final eqn)
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VDVT α = φ
Let
DVT α = y
VT α = D−1 y (2)
So
Vy = φ (3)
Using equation 3, as V is a lower trianglular matrix with unit
diagonal elements,
i
X
vij yj = φi , 1 ≤ i ≤ p
j=1
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vii=1
i−1
X
vii yj + yi = φi , 1 ≤ i ≤ p
j=1
i−1
X
y i = φi − vii yj
j=1
y1 = φ1
y2 = φ2 − v21 y1
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Now equation 2 can be solved for α
p
X yi
vji αj =
di
j=i
vii=1 p
yi X
αi = − vji αj 1 <= i <= p
di
j=i+1
Initially
yp
αp =
dp
yp−1
αp−1 = − vp,p−1 αp
dp−1
Important!!!
Follow the bookmarks for Have to start from last
getting the coeffs during alpha coeff for solving
solving!!
9 / 12
Stationary Signals–Auto correlation method Function of difference
Rn (0) Rn (1) .... Rn (p − 1) α1 Rn (1)
Rn (1)
Rn (0) .... Rn (p − 2)
α2 Rn (2)
.... ... ... ... .... = ....
.... ... ... ... .... ....
Rn (p − 1) Rn (p − 2) .... Rn (0) αp Rn (p)
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Levinson Durbin recursion algorithm :
1. E (0) = R(0)
i−1
P (i−1)
R(i)− αj R(i−j)
j=1
2. Ki = E (i−1)
,1≤i ≤p
(i)
3.αi = Ki
(i) (i−1) (i−1)
4.αj = αj − Ki αi−j , 1 ≤ j < i
5.E (i)= (1 − Ki2 )E (i−1)
(p)
Repeat steps 1 to 5. Finally, αj = αj
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Example: p=2
R(0) R(1) α1 R(1)
=
R(1) R(0) α2 R(2)
1. E (0) = R(0)
2. K1 = R(1)
R(0)
(1) R(1)
3. α1 = K1 = R(0)
R(0)2 −R(1)2
4. E (1) = (1 − K12 )E (0) = R(0)
R(1)
R(2)−R(1) R(0) 2
5. K2 = E (1)
= R(2)R(0)−R(1)
R(0)2 −R(1)2
(2)
6. α2 = α2 = K2
(2) (1) (1)
7. α1 =α1 =α1 − K2 α1 = R(1)R(0)−R(2)R(1)
R(0)2 −R(1)2
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