Numerical Wiener Filtering using CKMS
Date:
Abstract
Wiener filtering has a rich theoretical foundation, which includes a technique for solving Wiener-Hopf equations. In this talk I discuss a numerical implementation of the Wiener-Hopf technique for discrete Wiener-Hopf equations that arise is computing Wiener filters.
I start with a review of relevant signals and systems theory concepts with some examples. I then review Winer filtering in discrete time. Since, the Kalman filter is later employed, I discuss a little about that. Spectral factorization is also reviewed. And then I present a numerical implementation of the Wiener-hopf technique for computing Wiener filters for discrete time signals. I conclude with a brief demonstration.