ELL718 : Assignment 1

Neelkanth Kundu
2014EE10520

I. AR Process: 𝑢(𝑛) = 𝑎1𝑢(𝑛 − 1) + 𝑎2𝑢(𝑛 − 2) + 𝑣(𝑛)

Poles at 0.9+0.4j and 0.9-0.4j. On Solving: a1= 1.8 and a2= -0.97
Let AR process duration be 1000 samples.
I use arima() function of Matlab to generate the AR process and then use lpc() command to get
the wiener predictor coefficients and the MSE (Jmin). I plotted the MSE for different filter orders
(M=1 to 4). The results are shown below.
Results:

Filter Coefficients:

M Filter Coefficients
1 -0.91306
2 -1.79912 0.970424
3 -1.82323 1.015114 -0.02484
4 -1.82293 1.003022 -0.00312 -0.01191

Observation and Interpretation:

1) As the filter order increases the Mean square Error of the predictor decreases.
2) The experimental result is consistent with theoretical result that more accurate prediction is
made when the filter order increases.
 II. Now 𝑥(𝑛) = 𝑢(𝑛) + 𝑤(𝑛),
 Vary the SNR and plot MSE of Wiener predictor for fixed N and M. Let filter order
be M=4 and N=400. SNR=0dB to 10dB.

Plots:
(i) Semilogy scale

Inference:
1. As the SNR increases the variance of noise decreases hence the predicted value is more accurate
and hence the MSE decreases as SNR increases.
2. The semilogy plot of MSE is almost a linear curve.
3. This result is in agreement with the theoretical result.
  Variation of MSE with N. 10 ≤ 𝑁 ≤ 500
I used monte carlo simulations to find the MSE by simulating for 1000 iterations

Interpretation:
1. As the number of observations “N” increases the MSE decreases because it gives better
prediction of future values based on previous values.
2. This result is in accordance with the theoretical results.
3. For a given filter order, theoretically time series data of infinite length will give least MSE.

 Variation of MSE with Filter Order M: Here SNR=5dB and N=400

The MSE decreases as the filter order increases because the predicted value is more accurate
when more number of previous samples are used.
  When poles are at 0.5+0.5j and 0.5-0.5j: a1=1 and a2=-0.5
I. AR Process: 𝑢(𝑛) = 𝑎1𝑢(𝑛 − 1) + 𝑎2𝑢(𝑛 − 2) + 𝑣(𝑛)

The MSE is less than the corresponding MSE of the previous case when poles are at
0.9 ± 0.4𝑗

Filter Coefficients:

M Filter Coefficients
1 -0.65491
2 -0.9997 0.526468
3 -0.98597 0.500385 0.026091
4 -0.98497 0.51945 -0.01148 0.038101
 II. Now 𝑥(𝑛) = 𝑢(𝑛) + 𝑤(𝑛), Vary the SNR and plot MSE of Wiener predictor for
fixed N and M. Let filter order be M=4 and N=400. SNR=0dB to 10dB.

MSE vs N:
Variation of MSE with M

On comparing the MSE for the cases when poles are at 0.9 ± 0.4𝑗 and 0.5 ± 0.5𝑗 it is observed that the
MSE is less when the poles are farther from the unit circle and closer to origin i.e 0.5 ± 0.5𝑗 in this
example gives less MSE as compared to other one.

PSD of u(n) for two different pole locations:

The AR process with pole closer to unit circle (0.9 ± 0.4𝑗) has more peaky response.