CHAPTER 7 © Engodicity, Statistics, Estimation, and Simulation 0) cy x0) Ba) > 1 x Re) Figure 7.24 The forward fier model “This isthe form used in Figure 7.25, where the data X(z) is “inverse” filtered by A(2) the excitation E(z). Consequently, this form is called the inverse filter model. The method of least squares determines the coefficients such that the sum of th rors over some interval is minimized. The interval over which we observe the data is wnat distinguishes the two methods that are used to solve forthe 4, coefficients. For the auto- correlation method it is assumed that the data are windowed such that the data are outside the window. Note that the error is likely to be large at both the beginning and end ing of the estimation interval since we are trying to predict the true data using zeros be ccause we have windowed the data. This is why the data window is typically tapered at bot ends. This causes the data to gradually increase at the beginning of the data record sn similarly gradually decrease at the end, thereby reducing the error for these segments. The total squared error (total prediction error, or total prediction power) over this interval is B= Deo) = J &) - @ Zlo+ Darx-k)) 7730 where x(n) is the windowed data, The minimization is done by xin) Xe) 5 io) Ea) Figure 7.25 The inverse fier model which gives Note that k = 0,1 fare known as the nor ‘Yule-Walker equations tions by the same name pressed in a more comps 3 where Note that the 1/N term: factor and docs not affe sot of p equations with p Rx) Rex Rx) Rex Rux(P— 0) Rex? These equations can be Levinson—Durbin algos Algorithms for doi the autocorrelation mat the 4 coefficients, gives even, then the terms ab be replaced with terms ‘The autocorrelatio such thatthe poles of I suming real data, the & complex conjugate pai umber of coefficients: the upper half of the uni half, Of course, one or is odd, then at least one