A modified Least Squares Lattice filter to identify non stationary process

Details A modified Least Squares Lattice filter to identify non stationary process A modified Least Squares Lattice filter to identify non stationary process

2002-11-18

arxiv.org/abs/physics/0211077v1

Physics

Data Analysis, Statistics and Probability

19 pages, 15 figures, uses elsart.cls submitted to Signal Processing

Scientific paper

In this paper the author proposes to use the Least Squares Lattice filter with forgetting factor to estimate time-varying parameters of the model for noise processes. We simulated an Auto-Regressive (AR) noise process in which we let the parameters of the AR vary in time. We investigate a new way of implementation of Least Squares Lattice filter in following the non stationary time series for stochastic process. Moreover we introduce a modified Least Squares Lattice filter to whiten the time-series and to remove the non stationarity. We apply this algorithm to the identification of real times series data produced by recorded voice.

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