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1
Introduction of Statistical Signal
Processing
A signal is a set of observations taken sequentially in
time, space, or some other independent variable.
A deterministic signal is one that may be reproduced
exactly with repeated measurements.
A random signal is a signal that is not repeatable in a
predictable manner.
Though random signals are evolving in time in an
unpredictable manner, their average statistical
properties exhibit considerable regularity and hence
they are described with statistical averages instead of
explicit equations.
Main objectives of dealing with random signals:
1. the statistical description, modeling, and
exploitation of the dependence between the values
of one or more discrete-time signals and
2. their application to theoretical and practical
problems.
Random signals are described mathematically by
using the theory of probability, random variables and
stochastic processes.
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In practice we deal with random signal by using
statistic techniques.
Four major application areas:
1. Spectral estimation
2. Signal modeling
3. Adaptive filtering
4. Array processing
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Random signals
A discrete-time signal or time series is a set of
observations taken sequentially in time, space, or
some other independent variable.
In this class, we mainly concern discrete-time signal
and the terms signal, time series, or sequences will be
used to refer to a discrete-time signal.
The key characteristics of a time series are that the
observations are ordered in time and that adjacent
observations are dependent.
The dependency can be described with a scatter plot
or a quantity called correlation.
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One can use past observations to predict future
values.
Prediction result Nature of the signal
Exact Deterministic
Not exact Random/stochastic
The degree of their predictability is determined by the
dependence between consecutive observations.
Special case: white noise is completely unpredictable.
Fundamental characteristics of random signals: not
able to precisely specify its values.
The processing of discrete-time signals can be
classified as follows:
1. Signal analysis:
Objective: To extract useful information that
can be used to understand the
signal generation process or
extract features that can be used
for signal classification purposes.
Examples: spectral estimation & signal
modeling
Applications: detection/classification of radar
and sonar targets, speech &
speaker recognition, etc.
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2. Signal filtering:
Objective: To improve the quality of a
signal according to an acceptable
criterion of performance.
Examples: Adaptive filtering and array
processing
Applications: noise & interference cancellation,
echo cancellation, channel
equalization, etc.
Examples of random signals:
Speech signals, Electrophysiological signals and
geophysical signals, radar signals
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Random signal analysis
Major areas of random signal analysis are
(1) statistical analysis of signal amplitude;
(2) analysis and modeling of the correlation among
the samples of an individual signal; and
(3) joint signal analysis of their interaction or
interrelationship.
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Amplitude distribution:
Description of signal variability: mean, median,
variance and dynamic range
The shape of the histogram tells the probability
density and is very important in applications such as
signal coding and event detection.
The most popular distribution is Gaussian and, for
typical signals, we approximate their distribution as
Gaussian.
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Significance of Gaussian distribution:
1. Many physical signals can be described by
Gaussian processes.
2. The central limit theorem states that any process
that is the result of the combination of many
elementary processes will tend, under quite
general conditions, to be Gaussian.
3. Linear systems preserve the Gaussianity of their
input signals.
Correlation and spectral analysis
Empirical normalized autocorrelation sequence (i.e. a
normalized estimate of the autocorrelation of x(n) by
using a set of its observations) of a zero-mean time
series x(n):

=
1
0
2
1
0
*
) (
) ( ) (
) (
N
n
N
n
n x
l n x n x
l

Implication of ) (l

:
Property of a signal What does it means
Short-memory/short-
range dependence
) (l

decay fast
Long-memory/long-
range dependence
) (l

decay slowly
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The autocorrelation and the spectral density of a
signal form a Fourier transform pair.
The spectral density function shows the distribution
of signal power or energy as a function of frequency.
What is the connection between a signal and its
spectral, frequency plot and autocorrelation?
Joint signal analysis:
In many applications, we are interested in the
relationship between 2 different random signals.
Purposes:
1. To check if they are of the same or similar nature.
2. To ascertain and describe the similarity or
interaction between them so as to model or
identify the relevant system.
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Spectral estimation
Spectral estimation is used to estimate the distribution
of energy or power of a signal from a set of
observations.
The approaches for spectrum estimation may be
generally categorized into one of two classes.
Nonparametric methods: Begin by first estimating
the autocorrelation sequence from a given set of
data and then estimate the power spectrum by
Fourier transforming the estimated autocorrelation
sequence.
Parametric methods: Use a model for the signal to
estimate the power spectrum.
Applications: medical diagnosis, speech analysis,
radar & sonar, nondestructive fault detection, testing
of physical theories, and evaluating the predictability
of time series.
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Signal modeling
In many theoretical and practical applications, we are
interested in (1) generating random signals with
certain properties or (2) obtaining an efficient
representation of real-world random signals that
captures a desired set of their characteristics in the
best possible way.
The mathematical description that provides an
efficient representation of the 'essential' properties of
a signal is referred to as model.
In general, a time series x(n) can be modeled as a
linear combination of values of w(n)
=

= k
k n w k h n x ) ( ) ( ) (
where w(n) is independent and identically distributed
(IID) observations.
The list of desired features for a good model includes:
1. the number of model parameters should be as
small as possible
2. estimation of the model parameters from the data
should be easy, and
3. the model parameters should have a physically
meaningful interpretation.
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Applications of a signal model:
To achieve a better understanding of the physical
mechanism generating the signal
To track changes in the source of the signal and
help identify their cause (e.g., EGG).
To synthesize artificial signals similar to the natural
ones (e.g. speech).
To extract parameters for pattern recognition
applications (e.g., speech recognition).
To get an efficient representation of signals for data
compression (e.g. audio, video coding).
To forecast future signal behavior (e.g. predict
stock market indexes).
Steps involved in signal modeling:
1. Select an appropriate model;
2. Select the 'right' number of parameters;
3. Fit the model to the actual data;
4. Verify the model.
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Example: Speech model
Classification of random signal models
A more simple classification: AR, MA or ARMA
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Adaptive filtering
Conventional digital filters with fixed coefficients are
designed to have a given frequency response chosen
to alter the spectrum of the input signal in a desired
manner.
Many practical application problems can't be
successfully solved with fixed digital filters because
either (1) we do not have sufficient information to
design a digital filter with fixed coefficients or (2) the
design criteria change during the normal operation of
the filter.
3 basic modules of adaptive filters:
1. Filtering structure: forms the o/p of the filter
using measurements of the input signal or
signals.
2. Criterion of performance (COP): used to assess
the quality of the filter w.r.t. the requirements of
the oarticular application.
3. Adaptive algorithm: uses the value of COP and
the measurements of the input and desired
response (when available) to decide how to
modify the parameters of the filter to improve the
performance.
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The input signals and the desirable response signal
(when available) are collectively referred to as the
signal operating environment (SOE) of the adaptive
filter.
The design of any adaptive filter requires (1) a great
deal of a priori information about the SOE and (2) a
deep understanding of the particular application.
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Applications of adaptive filters can be sorted for
convenience into 4 classes:
Application class Examples
Echo cancellation
Adaptive control
System identification
Channel modeling
Adaptive equalization System inversion
Blind deconvolution
Adaptive predictive coding
Change detection
Signal prediction
Radio frequency
interference cancellation
Acoustic noise control Multisensor
interference
cancellation
Adaptive beamforming
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System identification:
The goal is to estimate the parameters or the state of
the system.
Assumption: The input of the filter is noise-free and
the desired response is corrupted by additive noise
that is uncorrelated with the input signal.
Example: Acoustic echo cancellation
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Problems:
1. The reverberations of the room: The microphone
picks up not only the speech coming from the
talker but also reflections from the walls and
furniture in the room.
2. Echos are created by the acoustic coupling
between microphone and the loudspeaker.
Why an adaptive filter is used?
1. The echo path is usually unknown before actual
transmission begins.
2. The echo path is changing with time.
System inversion:
The goal is to estimate and apply the inverse of the
system to recover the original signal.
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Difficulties:
1. The input of the adaptive filter may be corrupted
by additive noise.
2. The desired response may not be available.
Applications include channel equalization,
deconvolution and adaptive inverse control.
Example: Channel equalizer:
As the signal propagates through the channel, it's
delayed and attenuated in a frequency-dependent
manner.
This distortion can be compensated for by using a
linear filter called an equalizer.
A known training sequence is transmitted to train
the equalizer before a transmission session starts.
Signal prediction:
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The goal is to estimate the value of a particular
sample ) (
0
n x of a random signal by using a set of
consecutive signal samples } | ) ( {
2 1
n n n n x .
Classification case
Forward prediction
2 0
n n >
Backward prediction
0 1
n n >
Smoothing/interpolation
0 2 0 1
, n n n n n < <
Example: Linear predictive coding:
Uses a linear predictor to estimate ) ( n x of the
present sample ) (n x as a linear combination of the
M past samples.
=
=
M
k
k
k n x a n x
1
) ( ) (
The coefficients
k
a are determined by minimizing
the objective function
} )) ( ) ( {( } ) ( {
2 2
n x n x E n e E J = =
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Multisensor interference cancellation:
The key feature of this class of applications is the use
of multiple sensors to remove undesired interference
and noise.
A primary signal contains both the signal of interest
and the interference.
Reference signals are picked up by other sensors to
cancel the undesired interference.
The amount of correlation between the primary and
reference signals is measured and used to form an
estimate of the interference in the primary signal,
which is subsequently removed.
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Example: Active noise control:
The basic idea is to cancel acoustic noise using
destructive wave interference.
In practice, the acoustic environment is unknown
and time-varying and hence adaptive filtering is
required.
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Array processing
Array processing deals with techniques for the
analysis and processing of signals collected by a
group of sensors.
Applications: radar, sonar, communications,
seismology, geophysical prospecting for oil and
natural gas, diagnostic ultrasound and multichannel
audio systems.
Spatial filtering or beamforming
An array receives spatially propagating signals and
processes them to emphasize signals arriving from a
certain direction.
It acts as a spatially discriminating filter.
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Note a frequency-selective FIR filter extracts signals
at a frequency of interest.
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Adaptive interference mitigation in radar systems.
The desired information from these targets is (1) their
relative distance from the airborne platform (range),
(2) their angle w.r.t. the platform, and (3) their
relative speed.
The processing of the radar:
1. Filter out undesired signals through adaptive
processing
2. Determine the presence of targets, a process
known as detection
3. Estimate the parameters of all detected targets.
The received signal is known as return.
The angle of the target is determined through the use
of beamforming.
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Two common types of interference:
1. Clutter: reflections of the radar signal from the
ground
2. Jamming: other transmitted energy at the same
operation frequency as the radar.
We can adjust the beamformer weights s.t. signals
from the directions of the interference are rejected
while other direction are searched for targets.
The resolution in angle of the beamformer is called a
beamwidth which can be improved by beamsplitting.
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Adaptive sidelobe canceler
The high gain channel is known as the main channel
that contains both the signal and the jamming
interference.
Auxiliary channels typically have much lower gain in
the direction in which the main channel is directed so
that they contain only the interference.
The sidelobe canceler uses the auxiliary channels to
form an estimate of the interference in the main
channel.