Digital Signal Processing Reference
In-Depth Information
Thus, substituting equation (7.72) into equation (7.69) and rearranging, the a i
can be calculated as,
a i =
φ(i)/R(i, i),
i
=
1 , 2 , ... ,M
(7.73)
˜
The best estimate for
s(n) is then given by,
M
ˆ
s opt (n) =
a i s i (n), n
=
0 , 1 , ... ,L
1
(7.74)
=
i
1
The above procedure comprises aminimummean square error approximation
inwhich the optimum solution can be derived only if the set of sequences
ˆ
s i (n)
are linearly independent (i.e. form a basis) and are orthogonal to each other.
A popular method for achieving this orthogonalization is the Gram-Schmidt
procedure, summarized below.
Consider a set of m
1vectors p i (n) each of length L which form a basis.
The objective is to construct orthogonal vectors q i (n) so that
+
=
L
1
0for i
=
j
q i (n)q j (n)
i, j
=
0 , 1 , ... ,m
(7.75)
=
0for i
=
j,
n
=
0
Let q 0 (n)
=
p 0 (n) and define q 1 (n) as a linear combination of q 0 (n) and p 1 (n) ,
then
q 1 (n)
=
p 1 (n)
α 01 q 0 (n)
(7.76)
Then for q 1 (n) to be orthogonal to q 0 (n) ,
L
1
q 1 (n)q 0 (n) =
0
(7.77)
n
=
0
i.e.
L
1
L
1
α 01 q 0 (n)
p 1 (n)q 0 (n)
=
0
(7.78)
n
=
0
n
=
0
and the correlation α 01 is given by,
L
1
p 1 (n)q 0 (n)
n
=
0
α 01
=
(7.79)
L
1
q 0 (n)
n
=
0
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