Estimating a Wiener filter manually in Matlabby Bloo_Mec Tags: causal, whitening filter, wiener filter 

#1
Jan1513, 02:25 PM

P: 11

Hi all!
Problem: I am currently trying to calculate a Wiener filter for a stochastic system. The model is an ARX with determined parameters. Where I am: I have access to the transfer functions of the ARX model. I need to calculate the optimal causal filter: H(s)=1/Fi(s)*[Sx(s)/Fi(s)]_{L} I know that: Fi(s)Fi(s)=Sx(s)+Sn(s) where Sx(s) is the power spectral density of the output signal and Sn(s) is the power spectral density of the aditive noise. To find Sx and Sn I found the square root of the absolute value of the transfer functions of the model and the noise filter respectively, in the jω domain. I have the whitening filter (1/Fi(s)), I determined Fi(s) by taking out all poles and zeros on the right plane of Fi(s)Fi(s). Question: Is the bode diagram of the whitening filter supposed to be the symetric, relative to magnitude, of the bode diagram of the noise filter of the model? Now I have to determine: [Sx(s)/Fi(s)]_{L} I have Sx(s) and Fi(s), but my question is how do I determine the transfer function of the noncausal part only? I know I could use partial fraction expansion by hand but my Sx(s) and Sn(s) have 12th order polynomials so I will certainly not go that way. Please help. Thank you. Gonçalo 


Register to reply 
Related Discussions  
Estimating the variance of eigenvalues of sample covariance matrices in Matlab  Set Theory, Logic, Probability, Statistics  11  
Wiener filter  MATLAB implementation  Engineering Systems & Design  1  
How to manually write the code for a matlab delta function...  Engineering, Comp Sci, & Technology Homework  10  
Wiener Filter, Correlation Matrices  Calculus & Beyond Homework  2  
Matlab Filter Error, Plz Help  Engineering, Comp Sci, & Technology Homework  0 