Time-varying behavior of the PARCOR coefficients of lattice filters with nonstationary AR inputs

Author

Soni, T. ; Zeidler, J. ; Ku, W.H.

Author_Institution

Dept. of Electr. & Comput. Eng., Univ. of California at San Diego, La Jolla, CA, USA

Volume

3

fYear

1993

fDate

27-30 April 1993

Firstpage

384

Abstract

The authors describe the behavior of the partial correlation coefficients of lattice filters based on the recursive least squares (RLS) algorithm in the presence of a nonstationary input. The input is an autoregressive (AR) process and the coefficients of the generating filter are allowed to change with time, leading to a time-varying autocorrelation function at the input. For such an input the optimal Wiener-Hopf coefficients of a lattice filter are found. These are compared with the expected PARCOR coefficients of the RLS lattice filter, which are a function of the weighting parameter. It is shown that the PARCOR coefficients of the RLS lattice filter have two terms and tend to the Wiener-Hopf optimal weights asymptotically.<>

Keywords

adaptive filters; correlation theory; least squares approximations; time-varying systems; PARCOR coefficients; RLS; lattice filters; nonstationary autoregressive input; optimal Wiener-Hopf coefficients; partial correlation coefficients; recursive least squares; time-varying autocorrelation function; weighting;

fLanguage

English

Publisher

ieee

Conference_Titel

Acoustics, Speech, and Signal Processing, 1993. ICASSP-93., 1993 IEEE International Conference on

Conference_Location

Minneapolis, MN, USA

ISSN

1520-6149

Print_ISBN

0-7803-7402-9

Type

conf

DOI

10.1109/ICASSP.1993.319515

Filename

319515