Notes on Wiener Filters
نویسنده
چکیده
1 Basic Setting Here, we will only address the discrete time formulation of the Wiener filter. Consider a widesense stationary random process x[n] in the presence of additive noise n[n] independent of x[n]. so that we have u[n] = x[n] + n[n] sent through a time invariant linear system whose output is denoted by y[n]. The signal y[n] will approximate the output of a linear operator L on x[n] by minimizing the mean square error: J = E { ε [n] }
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