Presentation on theme: "ELG5377 Adaptive Signal Processing Lecture 7: Stochastic Models: Moving Average (MA), Autoregressive (AR) and ARMA."— Presentation transcript:
ELG5377 Adaptive Signal Processing Lecture 7: Stochastic Models: Moving Average (MA), Autoregressive (AR) and ARMA
Stochastic Models The term model is used for any hypothesis that may be applied to describe the hidden laws that govern the generation of physical data. A time series u(k) consisting of highly correlated observations may be generated by applying a series of statistically independent “shocks” to a linear filter. –The shocks are drawn from a fixed distribution (usually Gaussian) with zero mean and constant variance. –This time series of shocks is v(k). –E[v(k)v * (k-i)]= v 2 for i = 0 and 0 for i ≠ 0. Discrete-time Linear Filter v(k)v(k)u(k)u(k)
Types of Models u(k) = b i * v(k-i) –Moving Average Model FIR filter implementation a i * u(k-i) = v(k) (usually a 0 = 1) u(k) = v(k) – a i * u(k-i) (i ≠ 0) –Autoregressive Model IIR filter implementation ARMA – a i * u(k-i) = b i * v(k-i) –Cascade of FIR and IIR filters
Autoregressive Models The time series u(k), u(k-1), …, u(k-M) represents the realization of an autoregressive model of order M if it satisfies the difference equation –u(k) + a 1 * u(k-1)+…+a M * u(k-M) = v(k). Or –u(k) = w 1 * u(k-1)+…+w M * u(k-M) = v(k). Where w i = -a i. It is called an autoregressive model since u(k) is regressed on previous values of itself.
Correlation function of an asymptotically stationary AR process Starting with a i * u(k-i) = v(k) –Multiply both sides by u*(k-l) and take the expectation. E[ a i * u(k-i)u * (k-l)] = E[v(k)u * (k-l)] The right side of the equation is 0 for l > 0. The left side is a i *r(l-i) Therefore for l > 0, a i *r(l-i) = 0 (for i = 0, 1, … M) (a 0 = 1) Or we can write this as –r(l) = w i *r(l-i) = 0 (for i = 1,2, … M) –Want to find w 1, w 2, … w M.
Coefficients of AR model Recall that r(-x) = r*(x). If we take the complex conjugate of both sides, we get or r = Rw
Coefficients of AR model 2 r = [r * (1) r * (2) … r * (M)] T and w=[w 1 w 2 … w M ]T. R is the M×M correlation matrix of u(k). Therefore w = R -1 r. a 0 = 1 and a i = -w i. Next, let l = 0. E[v(k)u * (k)] = E[v(k)( w i * u(k-i)+v(k))*] = E[v(k)v * (k)] = v 2. The right side of the equation becomes a i r(i). Therefore:
AR model example Find a third order AR model that produces a process with the following correlation function –r(i) = sinc(i/2) Solution –M = 3. –r(0) = 1, r(1) = 0.637, r(2) = 0, r(3) =
AR model example continued w= R -1 r. w = [1.552, , 0.703] T. a 0 = 1, a 1 = , a 2 = and a 3 = v 2 = a i r(i) = w1w1 w2w2 w3w3 + v(k)v(k)u(k)u(k)
Applying autoregressive models to nonstationary systems Let us consider a first order autoregressive model. –w(k) = b 1 w(k-1)+v(k) –We need r(0) and r(1). –b 1 = r(1)/r(0). – v 2 = r(0)-r 2 (1)/r(0). Next let us consider the relationship between x(k) and d(k) in a stationary system. –d(k) = y o (k)+e o (k) = w o H x(k)+e o (k). Suppose that w o is time varying. Then the cross correlation between d(k) and x(k) would also be time-varying. –Nonstationary system. –Can represent as d(k) = w o H (k)x(k)+e o (k). where w o (k)=aw o (k-1)+ (k)