The Wiener Filter 3.1 The Wiener-Hopf Equation

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3.

The Wiener Filter

3.1 The Wiener-Hopf Equation

The Wiener filter theory is characterized by:

1. The assumption that both signal and noise are random processed with known spectral
characteristics or, equivalently, known auto- and cross-correlation functions.
2. The criterion for best performance is minimum mean-square error. (This is partially to make
the problem mathematically tractable, but it is also a good physical criterion in many
applications.)
3. A solution based on scalar methods that leads to the optimal filter weighting function (or
transfer function in the stationary case).

z(n) = s(n) + v(n) h(i ) or H ( z ) ŝ(n)

JWSS LTI WSS


Rs , Rv , Rz , Rsz or S s ( z ), Sv ( z ), S z ( z ), S sz ( z ) known

{
J = E [ s (n) − sˆ(n) ]
2
}
Fig. 3.1-1 Wiener Filter Problem

1
We now consider the filter optimization problem that Wiener first solved in the 1940s. Referring
to Fig. 3.1-1, we assume the following:

1. The filter input is an additive combination of signal and noise, both of which are jointly wide-
sense stationary (JWSS) with known auto- and cross-correlation functions (or corresponding
spectral functions).
2. The filter is linear and time-invariant. No further assumption is made as to its form.
3. The output is also wide-sense stationary.
4. The performance criterion is minimum mean-square error.

The estimate ŝ(n) of a signal s(n) is given by the convolution representation

∞ ∞
ŝ(n) = h(n) ∗ z(n) = ∑ h(n − i)z(i) = ∑ h(i)z(n − i),
i =−∞ i =−∞
(3.1-1)

where z(i) is the measurement and h(n) is the impulse response of the estimator. Let H denote
the region of support of h(n) , defined by

H = {n : h(n) ≠ 0}.

Then, Eq. (3.1-1) can be rewritten as

2
ŝ(n) = ∑ h(i )z(n − i ) . (3.1-2)
i∈H
Let the mean-square estimation error (MSE) J be

{
J = E [s(n) − s(
ˆ n) ]
2
}
⎧⎪ ⎡ ⎤⎡ ⎤ ⎫⎪
= E ⎨ ⎢s(n) − ∑ h(i )z(n − i ) ⎥ ⎢s(n) − ∑ h( j )z(n − j ) ⎥ ⎬ (3.1-3)
⎪⎩ ⎣ i∈H ⎦⎣ j∈H ⎦ ⎪⎭
= E {s 2 (n)} − 2∑ h(i ) E {s(n)z(n − i )} + ∑ ∑ h(i )h( j ) E {z(n − i )z(n − j )}.
i∈H i∈H j∈H

To minimize the MSE, take the partial derivatives of J with respect to h(i ) , for each h(i ) ≠ 0.
Then, set the result equal to zero

∂J
= −2 E {s(n)z(n − i )} + 2 ∑ h( j ) E {z(n − i )z(n − j )}
∂h(i ) j∈H (3.1-4)
= 0.

Solving Eq. (3.1-4), we find

∑ h( j ) E {z(n − i)z(n − j )} = E {s(n)z(n − i)} ,


j∈H
i∈H (3.1-5)

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which we may express in the form of

∑ h( j ) R ( j − i ) = R
j∈H
z sz (i ), i ∈ H , (3.1-6)

where Rz (k ) is the autocorrelation function of z(n) and Rsz (k ) is the crosscorrelation function
of s(n) and z(n).

Eq. (3.1-6) is the discrete-time Wiener-Hopf equation. It is the basis for the derivation of the
Wiener filter.

3.2 The FIR Wiener Filter

Suppose the filter has an impulse response h(n) with support H, where H is a finite set, e.g., H =
{0,1,2,…,N-1}. Then the impulse response h(n) has a finite duration, and this type of filter is
called a finite impulse response (FIR) filter.

For the FIR filter, the Wiener-Hopf equation is written


N −1

∑ h( j ) R ( j − i ) = R
j =0
z sz (i ), 0 ≤ i ≤ N − 1 . (3.2-1)

4
This may be written in matrix form

⎡ Rz (0) Rz (1) " Rz ( N − 1) ⎤ ⎡ h(0) ⎤ ⎡ Rsz (0) ⎤


⎢ R (1) R (0) " R ( N − 2) ⎥ ⎢ h(1) ⎥ ⎢ R (1) ⎥
⎢ z z z ⎥⎢ ⎥ = ⎢ sz ⎥, (3.2-2)
⎢ # # % # ⎥⎢ # ⎥ ⎢ # ⎥
⎢ ⎥⎢ ⎥ ⎢ ⎥
⎣ z
R ( N − 1) Rz ( N − 2) " R z (0) ⎦ ⎣ h ( N − 1) ⎦ ⎣ sz
R ( N − 1) ⎦

where we have used the fact that Rz (k ) = Rz (−k ) . Denote Eq. (3.2-2) in a convenient form

Rz h = r sz (3.2-3)

where the autocorrelation function Rz is symmetric and positive-definite.

Eq. (3.2-3) is solved for h ,

h = Rz −1 r sz . (3.2-4)

This is the FIR Wiener filter of order N − 1. Note that Rz is a Toeplitz matrix and Eq. (3.2-4)
may be solved using a computationally-efficient method such as the Levinson-Durbin algorithm.

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Mean-Square Error (MSE)

We may write the MSE of the FIR Wiener filter

⎧ ⎡ N −1
⎤⎫
 n) ⎢s(n) − ∑ h(i )z(n − i ) ⎥ ⎬
MSE = E ⎨s(
⎩ ⎣ i =0 ⎦⎭
(3.2-5)
N −1
 n)s(n)} − ∑ h(i ) E {s(
= E {s(  n)z(n − i )}.
i =0

To simplify Eq. (3.2-5), rewrite Eq. (3.1-5) in the following form

⎧⎪ ⎡ ⎤ ⎫⎪
E ⎨z(n − i ) ⎢s(n) − ∑ h( j )z(n − j ) ⎥ ⎬ = 0
⎪⎩ ⎣ j∈H ⎦ ⎪⎭
E {z(n − i ) [s(n) − s(
ˆ n) ]} = 0 (3.2-6)
E {z(n − i )s(
 n)} = 0, i ∈ H.

This relation is known as the orthogonality principle for LTI estimators. Applying this relation to
Eq. (3.2-5) gives

6
MSE = E {s(
 n)s(n)}
N −1
= E {s (n)} − ∑ h(i ) E {s(n)z(n − i )}
2

i =0
N −1
= Rs (0) − ∑ h(i ) Rsz (i )
i =0 (3.2-7)
= Rs (0) − hT r sz .

Observe that if no filtering is performed and we simply use ŝ(n) = z (n) , the MSE is

{
MSE no filter = E [s(n) − z (n) ]
2
} = R (0) − 2R (0) + R (0).
s sz z (3.2-8)

We can use Eq. (3.2-8) to measure the effectiveness of the Wiener filter. The reduction in MSE
due to Wiener filtering is given by

⎛ MSE no filter ⎞
reduction in MSE = 10log10 ⎜ ⎟ dB . (3.2-9)
⎝ MSE filter ⎠

We can inspect the MSE to determine whether the filter performance is acceptable. If the MSE is
too high, we may wish to use a larger value of N.

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Example 3.2-1

Suppose we have a signal s(n) with autocorrelation function Rs (k ) = 0.95 k . The signal is
observed in the presence of additive white noise with variance σ v 2 = 2 . Hence Rv (k ) = 2δ (k ) .
s(n) and v(n) are uncorrelated, zero-mean, JWSS random processes. We would like to design
the optimum LTI second-order filter h.

Since the filter is the second-order, we set N = 3 . The matrix equation Eq. (3.2-2) to be solved is

⎡ Rz (0) Rz (1) Rz (2) ⎤ ⎡ h(0) ⎤ ⎡ Rsz (0) ⎤


⎢ R (1) R (0) R (1) ⎥ ⎢ h(1) ⎥ = ⎢ R (1) ⎥ . (3.2-10)
⎢ z z z ⎥⎢ ⎥ ⎢ sz ⎥
⎢⎣ Rz (2) Rz (1) Rz (0) ⎥⎦ ⎢⎣ h(2) ⎥⎦ ⎢⎣ Rsz (2) ⎥⎦

For an additive-noise measurement model

z(n) = s(n) + v(n) ,

the autocorrelation functions Rz (k ) and Rsz (k ) may be given as follows

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Rz (k ) = E {z(n)z(n − k )}
= E {[s(n) + v(n) ][s(n − k ) + v(n − k ) ]}
(3.2-11)
= E {[s(n)s(n − k ) ]} + E {[ v(n)v( n − k ) ]}
= Rs (k ) + Rv (k ),

and

Rsz (k ) = E {s(n) [s(n − k ) + v(n − k ) ]}


= E {[s(n)s(n − k ) ]} + E {[s(n)v( n − k ) ]} (3.2-12)
= Rs (k ).

According to Eqs. (3.2-11) and (3.2-12), we have

Rz (k ) = 0.95 + 2δ (k )
k

Rsz (k ) = 0.95 .
k

Then Eq. (3.2-10) becomes

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⎡3 0.95 0.9025⎤ ⎡ h(0) ⎤ ⎡1 ⎤
⎢0.95 3 0.95 ⎥ ⎢ ⎥ ⎢
h(1) = 0.95 ⎥ . (3.2-13)
⎢ ⎥⎢ ⎥ ⎢ ⎥
⎣⎢0.9025 0.95 3 ⎦⎥ ⎣⎢ h(2) ⎦⎥ ⎣⎢0.9025⎦⎥

The solution of Eq. (3.2-13) is

h = [ 0.2203 0.1919 0.1738] .


T

The MSE of this estimator can be computed via Eq. (3.2-7),

MSE = Rs (0) − hT r sz = 0.4405 . (3.2-13)

For comparison, we remark that without any filtering,


MSE no filter = Rs (0) − 2 Rsz (0) + Rz (0) = Rv (0) = 2 . (3.2-14)
The FIR Wiener filter has reduced the MSE by

⎛ MSE no filter ⎞
reduction in MSE = 10log10 ⎜ ⎟ dB
⎝ MSE filter ⎠
⎛ 2 ⎞
= 10log10 ⎜ ⎟ (3.2-15)
⎝ 0.4405 ⎠
≈ 6.5dB.
10
3.3 The Noncausal Wiener Filter

Rewrite the Wiener-Hopf equation, Eq. (3.1-6),

∑ h( j ) R ( j − i ) = R
j∈H
z sz (i ), i ∈ H

and let H = Z , where Z is the set of integers: Z = {", −2, −1,0,1, 2,"}. Then, the Wiener-Hopf
equation becomes

∑ h( j ) R ( j − i ) = R
j =−∞
z sz (i ), for all i ∈ Z . (3.3-1)

Take the z-transform of Eq. (3.3-1)

H ( z ) Sz ( z ) = Ssz ( z )

so that

Ssz ( z )
H ( z) = . (3.3-2)
Sz ( z )
Eq. (3.3-2) is the solution for the noncausal Wiener filter.

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Mean-Square Error (MSE)

As with the FIR Wiener filter of Section 3.2, we can derive an expression for the MSE. The MSE
similar to Eq. (3.2-7) can be written as

MSE = Rs (0) − ∑ h(i ) Rsz (i ) . (3.3-3)
i =−∞

Example 3.3-1

Let us apply a noncausal Wiener filter to the filtering problem of Example 3.2-1. In that example
we found that

Rz (k ) = 0.95 + 2δ (k ) , and Rsz (k ) = 0.95 .


k k
(3.3-4)

Take z-transforms of Eq. (3.3-4)

1 − (0.95) 2
Sz ( z ) = +2
(1 − 0.95 z −1 )(1 − 0.95 z )
2.3955(1 − 0.7931z −1 )(1 − 0.7931z ) 1
= , 0.7931 < z <
(1 − 0.95 z −1 )(1 − 0.95 z ) 0.7931

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and

1 − (0.95) 2 1
Ssz ( z ) = , 0.95 < z < .
(1 − 0.95 z −1 )(1 − 0.95 z ) 0.95

The noncausal Wiener filter, Eq. (3.3-2), is given by

Ssz ( z ) 0.0975
H ( z) = =
Sz ( z ) 2.3955(1 − 0.7931z −1 )(1 − 0.7931z )
0.1097(1 − (0.7931) 2 ) 1
= , 0.95 < z < .
(1 − 0.7931z −1 )(1 − 0.7931z ) 0.95

The impulse response of the filter is

h(n) = 0.1097(0.7931) .
n

The mean-square errors associated with the noncausal Wiener filter is according to Eq. (3.3-3),

13

MSE = Rs (0) − ∑ h( n) R
n =−∞
sz ( n)

= (0.95) −
0
∑ 0.1097(0.7931)
n =−∞
n
(0.95)
n

⎡∞ −∞

= 1 − 0.1097 ⎢ ∑ (0.7931) (0.95) + ∑ (0.7931) − n (0.95) − n ⎥
n n

⎣ n =0 n =−1 ⎦
⎡ ∞ ⎤
= 1 − 0.1097 ⎢ 2∑ (0.7931) n (0.95) n − 1⎥
⎣ n =0 ⎦
⎡ 2 ⎤
= 1 − 0.1097 ⎢ − 1⎥ = 0.2195.
⎣1 − (0.7931)(0.95) ⎦

Since the MSE with no filter is 2 according to Eq. (3.2-14), the improvement of the noncausal
filter over no filtering is

⎛ MSE no filter ⎞
reduction in MSE = 10log10 ⎜ ⎟ dB
⎝ MSE filter ⎠
⎛ 2 ⎞
= 10log10 ⎜ ⎟
⎝ 0.2195 ⎠
≈ 9.6dB.

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Compared to the second-order filter in Eq. (3.2-15) in Ex. (3.2-1), the noncausal Wiener filter
reduces the estimation error by an additional 3 dB .

3.4 The Causal Wiener Filter

Rewrite the Wiener-Hopf equation, Eq. (3.1-6),

∑ h( j ) R ( j − i ) = R
j∈H
z sz (i ), i ∈ H

and let H = N , where N is the set of integers: N = {0,1,2,"}. Then, the Wiener-Hopf equation
becomes

∑ h( j ) R ( j − i ) = R
j =0
z sz (i ), for all i ∈ N . (3.4-1)

Eq. (3.4-1) can not be simplified by taking the z-transform because of its causality restriction. To
solve the Wiener-Hopf equation, the spectral factorization and the causal-part extraction are
necessary.

Theorem 3.4-1 (Spectral Factorization)

Let x(n) be a real-valued, zero-mean, WSS random process with power density spectrum S x ( z ) ,

15
where S x ( z ) is rational in z and has no poles on the unit circle. Then S x ( z ) can be factored into
the product

Sx ( z) = Sx + ( z)Sx − ( z ) , (3.4-2)

where

S x + ( z ) and S x − ( z ) are rational in z,


if zi is a pole of S x + ( z ) , then zi < 1,
if zi is a zero of S x + ( z ) , then zi ≤ 1,
if zi is a pole of S x − ( z ) , then zi > 1 ,
if zi is a zero of S x − ( z ) , then zi ≥ 1, and
S x + ( z ) = S x − ( z −1 ) .

Example 3.4-1

Let s(n) be a random process described by the difference equation

s(n) = 1.1s( n − 1) − 0.24s( n − 2) + 2w(n) + 3w( n − 1) , (3.4-3)

where w(n) is a zero-mean, WSS random process with autocorrelation function Rw (n) = 5(0.6) n .

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We want to find the spectral factorization of Ss ( z ).

Take the z-transform of Eq. (3.4-3)

S ( z ) = 1.1z −1S ( z ) − 0.24 z −2 S ( z ) + 2W ( z ) + 3z −1W ( z ) .

The system transfer function is

S ( z) 2 + 3z −1 2(1 + 1.5 z −1 )
H ( z) = = = .
W ( z ) 1 − 1.1z −1 + 0.24 z −2 (1 − 0.3z −1 )(1 − 0.8 z −1 )

Using the input-output power spectrum relation, the power spectrum of s(n) is given by

Ss ( z ) = H ( z ) H ( z −1 ) S w ( z )
2(1 + 1.5 z −1 ) 2(1 + 1.5 z ) 3.2 (3.4-4)
= −1 −1 −1
,
(1 − 0.3 z )(1 − 0.8 z ) (1 − 0.3z )(1 − 0.8 z ) (1 − 0.6 z )(1 − 0.6 z )

where it is used that

1 − (0.6) 2
Sw ( z) = 5 .
(1 − 0.6 z −1 )(1 − 0.6 z )

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Collect the terms in Eq. (3.4-4) that have poles or zeros inside the unit circle to form Ss + ( z ) ,

2 3.2(1 + 1.5 z )
Ss + ( z ) = . (3.4-5)
(1 − 0.3z −1 )(1 − 0.8 z −1 )(1 − 0.6 z −1 )

Collect the terms in Eq. (3.4-4) that have poles or zeros outside the unit circle to form Ss − ( z ) ,

− 2 3.2(1 + 1.5 z −1 )
Ss ( z ) = . (3.4-6)
(1 − 0.3z )(1 − 0.8 z )(1 − 0.6 z )

From Eqs. (3.4-5) and (3.4-6), it is noticed that

Ss − ( z ) = Ss + ( z −1 ) .

The Causal-Part Extraction

Consider the impulse response h(n) of a real-valued LTI system with rational z-transform H ( z ) .
In the time domain we can split h(n) into its causal and anticausal parts such that

h(n) = causal part of h(n) + anticausal part of h(n) , (3.4-7)

where
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causal part of h(n) ≡ [ h(n) ]+ = h(n)1(n),
anticausal part of h(n) ≡ [ h(n) ]− = h(n)1(−n − 1).

By the linearity of the z-transform, Eq. (3.4-7) becomes,

H ( z ) = [ H ( z ) ]+ + [ H ( z ) ]− , (3.4-8)

where

[ H ( z )]+ = Z {h(n)1(n)} ,
(3.4-9)
[ H ( z )]− = Z {h(n)1(−n − 1)}.
We now develop a method for determining [ H ( z ) ]+ and [ H ( z ) ]− . By long division in z, z −1 , or
both for a rational H ( z ) , we can always convert it into the form

⎛ N −1 − n ⎞
L M −N ⎜ ∑ bn z ⎟
H ( z ) = ∑ c− n z n + ∑ cn z − n + ⎜ nN=0 ⎟ (3.4-10)

n =1


n =0

⎜⎜ ∑ an z − n ⎟⎟
PA ( z ) PC ( z )
⎝
n =0


Q( z)

19
H ( z ) consists of two polynomial terms, PA ( z ) and PC ( z ) , and a proper fraction in z −1 , Q ( z ) .
PA ( z ) corresponds to a purely anticausal sequence, and PC ( z ) to a purely causal sequence.

Now we examine Q( z ) . Let K ≤ N be the number of distinct poles of Q( z ) , and denote these
poles and their associated degrees by pk and mk , respectively, k = 1,", K . Then Q( z ) may be
written as
N −1

⎛1⎞ ∑b z n
−n

Q( z ) = ⎜ ⎟ K
n =0
.
⎝ a0 ⎠
∏ (1 − p z
k =1
k
−1 mk
)

Via partial fractions, we can write this expression as


mk
K qk ,m K
Q( z ) = ∑∑ −1 m
≡ ∑ Qk ( z ) . (3.4-11)
k =1 m =1 (1 − pk z ) k =1

Suppose that H ( z ) be stable. Then its ROC includes the unit circle and the ROC of each Qk ( z )
must include the unit circle. Let N A be the total order of the poles of H ( z ) outside the unit
circle, and NC be the total order of the poles of H ( z ) inside the unit circle with the exception

20
of the origin. Then N A + N C = N and we may write

N A −1

K ∑λ z n
−n

QA ( z ) = ∑ Q ( z) = k K
n =0
,
k =1
pk >1 ∑ (1 − p z
k =1
k
−1 mk
)
pk >1

and
NC −1

K ∑μ z n
−n

QC ( z ) = ∑ Qk ( z ) = K
n =0
.
k =1
0< pk <1 ∑
k =1
(1 − pk z −1 ) mk
0< pk <1

QA ( z) is the anticausal, proper, rational portion of H ( z ) , and QC ( z ) is the causal, proper,


rational portion of H ( z ) . Then for a stable rational H ( z ) , we have

[ H ( z )]+ = PC ( z ) + QC ( z ) ,
which is the sum of a purely causal sequence and all terms in the partial fraction expansion of

21
H ( z ) that have poles inside the unit circle.

Example 3.4-2

We want the causal part of

6 z 2 − 51z + 128 − 109 z −1 + 197 z −2 − 232 z −3 + 80 z −4


H ( z) = ,
2 − 17 z −1 + 40 z −2 − 16 z −3

⎧ 1 ⎫
with ROC = ⎨ z : < z < 4 ⎬ .
⎩ 2 ⎭

Long division in z gives

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3z 2 +4
2 − 17 z −1 + 40 z −2 − 16 z −3 6 z 2 − 51z + 128 − 109 z −1 + 197 z −2 − 232 z −3 + 80 z −4
6 z 2 − 51z + 120 − 48z −1
________________________________________
8 − 61z −1 + 197 z −2 − 232 z −3 + 80 z −4
8 − 68z −1 + 160 z −2 − 64 z −3
_____________________________
7 z −1 + 37 z −2 − 168 z −3 + 80 z −4

7 z −1 + 37 z −2 − 168 z −3 + 80 z −4
H ( z ) = 3z + 4 +
2
.
2 − 17 z −1 + 40 z −2 − 16 z −3

Then long division in z −1 produces

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−5 z −1 − 2
−16 z −3 + 40 z −2 − 17 z −1 + 2 80 z −4 − 168 z −3 + 37 z −2 + 7 z −1
80 z −4 − 200 z −3 + 85 z −2 − 10 z −1
________________________
32z −3 − 48 z −2 + 17 z −1
32z −3 − 80 z −2 + 34 z −1 − 4
____________________
32z −2 − 17 z −1 + 4

−1 4 − 17 z −1 + 32 z −2
H ( z ) = 3z + 4 + (−2) − 5 z +
2
.
2 − 17 z −1 + 40 z −2 − 16 z −3

Let Q( z ) be the rational term and find its partial fractions

17 −1
−1 −2 2− z + 16 z −2
4 − 17 z + 32 z 2
Q( z ) = −1 −2 −3
=
2 − 17 z + 40 z − 16 z 1
(1 − z −1 )(1 − 4 z −1 ) 2
2
1 1
= + .
(1 − 4 z −1 ) 2 1 − 1 z −1
2
24
Hence,

1 1
H ( z ) = 3z 2 + 2 − 5 z −1 + + .
(1 − 4 z −1 ) 2 1 − 1 z −1
2

So the causal part of H ( z ) is

1
[ H ( z )]+ = 2 − 5 z −1 + 1 −1
,
1− z
2
n
⎛1⎞
which corresponds to the sequence 2δ (n) − 5δ (n − 1) + ⎜ ⎟ 1(n) . Also the anticausal part of
⎝2⎠
H ( z ) is

1
[ H ( z )]− = 3z 2 + ,
(1 − 4 z −1 ) 2

which corresponds to 3δ (n + 2) + ⎡( −4 ) 1(−n − 1) ⎤ ∗ ⎡( −4 ) 1(− n − 1) ⎤ .


n n
⎣ ⎦ ⎣ ⎦

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The Causal Wiener Filter

Assume that S z ( z ) is rational in z and has no poles or zeros on the unit circle. The equation that
we must solve to obtain the causal Wiener filter is as is given in Eq. (3.4-1)

∑ h( j ) R ( j − i ) = R
j =0
z sz (i ), i ≥ 0 .

To solve the Wiener-Hopf equation, define



h′(i ) = Rsz (i ) − ∑ h( j ) Rz ( j − i ), for all i ∈ Z . (3.4-12)
j =0

Since h is the causal Wiener filter, h′(i ) can be written

⎧0, i≥0

h′(i ) = ⎨ ∞
(3.4-13)
⎪ Rsz (i ) − ∑ h( j ) Rz ( j − i), i < 0.
⎩ j =−∞

Now we can take the z-transform of both sides of Eq. (3.4-12) and obtain

26
H ′( z ) = Ssz ( z ) − H ( z ) S z ( z )
= Ssz ( z ) − H ( z ) S z + ( z ) S z − ( z ).

Dividing by Sz − ( z ) , we have

H ′( z ) Ssz ( z )

= − − H ( z ) Sz + ( z ) .
Sz ( z ) Sz ( z )

Extract the causal part of both sides of this equation and find

⎡ H ′( z ) ⎤ ⎡ Ssz ( z ) ⎤
⎢ − ⎥ − ⎡⎣ H ( z ) Sz ( z ) ⎤⎦ + .
+
⎢ − ⎥ = (3.4-14)
⎣ Sz ( z ) ⎦ + ⎣ Sz ( z ) ⎦ +

From Eq. (3.4-13), h′(i ) is purely anticausal. Therefore H ′( z ) contains only poles outside the
1
unit circle. Since the zeros of Sz − ( z ) lie outside the unit circle, the poles of also lie
Sz − ( z )
H ′( z )
outside the unit circle. We conclude that all the poles of are outside the unit circle, and
Sz − ( z )
thus

27
⎡ H ′( z ) ⎤
⎢ − ⎥ = 0.
⎣ Sz ( z ) ⎦ +

H ( z ) is causal by definition, so its poles lie within the unit circle. The poles of Sz + ( z ) are also
within the unit circle. Hence all the poles of H ( z ) Sz + ( z ) are inside the unit circle, and

⎡⎣ H ( z ) S z + ( z ) ⎤⎦ = H ( z ) Sz + ( z ) .
+

Ssz ( z )
We can not conclude anything about . Therefore, Eq. (3.4-14) becomes
Sz − ( z )

⎡ S ( z) ⎤
0 = ⎢ sz− ⎥ − H ( z ) Sz + ( z ) ,
⎣ Sz ( z ) ⎦ +

which produces the causal Wiener filter, described by its system function H ( z )

1 ⎡ Ssz ( z ) ⎤
H ( z) = ⎢ ⎥ . (3.4-15)
Sz + ( z ) ⎣ Sz − ( z ) ⎦ +

Example 3.4-3

28
Consider the same situation of Examples 3.2-1 and 3.3-1 in which s(n) and v(n) are
uncorrelated, zero-mean, JWSS random processes with

1 − (0.95) 2
Ss ( z ) = ,
(1 − 0.95 z −1 )(1 − 0.95 z )

and

Sv ( z) = 2 .

We observe z(n) = s(n) + v(n) and estimate s(n) .

From Example 3.3-1, we have

2.3955(1 − 0.7931z −1 )(1 − 0.7931z )


Sz ( z ) = −1
.
(1 − 0.95 z )(1 − 0.95 z )

Perform a spectral factorization on S z ( z ) and obtain

+ (1 − 0.7931z −1 )
S z ( z ) = 1.5477 ,
(1 − 0.95 z −1 )

29
and

(1 − 0.7931z )
Sz − ( z ) = 1.5477 .
(1 − 0.95 z )

Ssz ( z ) = Ss ( z ) because s(n) and v(n) are uncorrelated. Therefore, we have

Ssz ( z ) 0.0630
=
Sz − ( z ) (1 − 0.95 z −1 )(1 − 0.7931z )
−0.0794 z −1
=
(1 − 0.95 z −1 )(1 − 1.2608 z −1 )
0.2555 0.2555
= −
1 − 0.95 z −1 1 − 1.2608 z −1

and

⎡ Ssz ( z ) ⎤ 0.2555
⎢ − ⎥ = −1
.
⎣ z
S ( z ) ⎦+ 1 − 0.95 z

The causal Wiener filter is then

30
1 ⎡ Ssz ( z ) ⎤
H ( z) = ⎢ ⎥
Sz + ( z ) ⎣ Sz − ( z ) ⎦ +
1 − 0.95 z −1 0.2555 0.1651
= −1
• −1
= ,
1.5477(1 − 0.7931z ) 1 − 0.95 z 1 − 0.7931z −1

and

h(n) = 0.1651(0.7931) n1(n) .

The MSE associated with this filter is computed using Eq. (3.3-3)

MSE C = 1 − 0.1651∑ (0.7931)i (0.95)i = 0.3302 .
i =0

Compared to no filtering (MSE = 2), the causal Wiener filter reduces the MSE by 7.8 dB . (6.5
dB in FIR filter and 9.6 dB in noncausal filter.)

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