- Title
- The Wiener filter for locally stationary stochastic processes is rarely locally stationary
- Creator
- Wahlberg, Patrik; Schreier, Peter J.
- Relation
- 17th European Signal Processing Conference (EUSIPCO 2009). EUSIPCO 2009: 17th European Signal Processing Conference (Glasgow, Scotland 24-28 August, 2009) p. 2465-2469
- Relation
- http://www.eusipco2009.org/Papers-g.html
- Publisher
- EURASIP
- Resource Type
- conference paper
- Date
- 2009
- Description
- The Wiener filter (i.e., linear minimum mean squared error filter) for wide-sense stationary stochastic processes is translation-invariant, i.e., its impulse response, like the covariance function, is only a function of the time-shift. We investigate whether there is a generalization of this result to continuous-time stochastic processes that are locally stationary in Silverman’s sense: Is the optimal filter for locally stationary processes locally stationary itself? The answer is surprisingly negative: Even though the optimal filter can be locally stationary in special cases, it rarely is, even when the covariance functions have Gaussian shape.
- Subject
- Wiener filter; stationary stochastic processes; locally stationary
- Identifier
- uon:9020
- Identifier
- http://hdl.handle.net/1959.13/919908
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