Professional Documents
Culture Documents
Experiments
Experiment 1: Adaptive Predictor
AR(1) Process
Autoregressive process of order 1 is defined as:
u ( n )=au ( n1 ) +v ( n)
where,
'a' is the parameter of AR(1) process
'v(n)' is WGN with variance
2v
u(n)
Z-
u(n-1)
w (n)
w (n)u (n 1)
+
f(n)
Experiment Results
Experiment is carried out with the following cases:
Case1:
a= -0.99
Variance of u(n)= 0.93627
Case2:
a= +0.99
Variance of u(n)= 0.995
The Step size parameter is taken as =0.05 and initial condition
Steps:
1. Generate AR process
u ( n )=au ( n1 ) +v ( n)
2. Initialize
3. Update
w
^ ( 0 )=0
w
^ (n )
w
^ ( n+1 )=^
w ( n )+ u ( n1 ) f (n)
w
^ ( 0 )=0
f ( n )=u ( n ) w
^ ( n ) u(n1)
w
^ ( n ) . It also shows the
Problem 5.21
AR(2) Process
Autoregressive process of order 2 is defined as:
u ( n )=a1 u ( n1 )a2 u ( n1 ) + v (n)
a1=0.1
a2=0.8
2
a) Noise variance v
2
such that u =1
( 1a2 ) (( 1+ a2 ) a1 ) 2
=
u
( 1+ a2 )
2
v
v =0.27