Adaptive Filters Ali Bastami

Homework #1 - Mehr 28, 1401

Due: Aban 04, 1401 at 10:00 AM

1. Compute the eigenvalues and eigenvectors of the following matrix. In derivation of the
eigenvectors, consider the orthogonality constraint.
0 1 1
= 1 0 1
1 1 0

2. The sequences ( ) and ( ) are related by the difference equation

( )= ( + )− ( − )
where is a constant. Evaluate the autocorrelation function of ( ) in terms of that of ( ).

3. Consider an autoregressive process ( ) of order two described by the difference equation

( ) = ( − 1) − 0.5 ( − 2) + ( )
where ( ) is white noise with zero mean and variance 0.5.

(a) Write the Yule-Walker equations for the process.

(b) Solve these two equations for the autocorrelation function values (1) and (2).
(c) Find the variance of ( ).

4. Consider an MA process ( ) of order two described by the difference equation

( ) = ( ) + 0.75 ( − 1) + 0.25 ( − 2)
where ( ) is a zero-mean white-noise process of unit variance. The requirement is to
approximate this process by an AR process ( ) of order . Do this approximation for the
following orders:

(a) = 2.
(b) = 5.

Comment on your results. How big would the order of the AR process ( ) have to be for
it to be equivalent to the MA process ( ) exactly?

5. Consider a real AR process ( ) of order two described by the difference equation

( ) − 0.1 ( − 1) + 0.3 ( − 2) = ( ) (1)
where ( ) is a zero-mean white-noise process with variance = 0.1.

1
(c) By solving Yule-Walker equations calculate the correlation values of ( ), i.e.
( ) = { ( ) ( − )}.
(d) Based on the correlation values calculated in part (a), characterize the process ( ) in
the form of an AR process of order three, i.e.
( )+ ( − 1) + ( − 2) + ( − 3) = ( )
Compute the coefficients , , , and the corresponding noise variance .
(c) Based on the AR model of process ( ) given in equation (1), generate samples of
the process (i.e., (0), (1), … , ( − 1)) and compute the correlation values of
( ) using the approximation
1
( ) = { ( ) ( − )} ≈ () ( − ) (2)
−
Note that in the above approximation, we have substituted the expectation with time
averaging. Based on the time-average correlation values, solve the Yule-Walker
equations for , and . Compare these parameters with those of the AR model
given in equation (1). Do the above calculations for = 100, = 1000 and
= 10000.