Kalman filterFor statistics and control theory, Kalman filtering, also known as linear quadratic estimation (LQE), is an algorithm that uses a series of measurements observed over time, including statistical noise and other inaccuracies, and produces estimates of unknown variables that tend to be more accurate than those based on a single measurement alone, by estimating a joint probability distribution over the variables for each timeframe. The filter is named after Rudolf E. Kálmán, who was one of the primary developers of its theory.
Wiener filterIn signal processing, the Wiener filter is a filter used to produce an estimate of a desired or target random process by linear time-invariant (LTI) filtering of an observed noisy process, assuming known stationary signal and noise spectra, and additive noise. The Wiener filter minimizes the mean square error between the estimated random process and the desired process. The goal of the Wiener filter is to compute a statistical estimate of an unknown signal using a related signal as an input and filtering that known signal to produce the estimate as an output.
Signal processingSignal processing is an electrical engineering subfield that focuses on analyzing, modifying and synthesizing signals, such as sound, , potential fields, seismic signals, altimetry processing, and scientific measurements. Signal processing techniques are used to optimize transmissions, digital storage efficiency, correcting distorted signals, subjective video quality and to also detect or pinpoint components of interest in a measured signal. According to Alan V. Oppenheim and Ronald W.
Mean squared errorIn statistics, the mean squared error (MSE) or mean squared deviation (MSD) of an estimator (of a procedure for estimating an unobserved quantity) measures the average of the squares of the errors—that is, the average squared difference between the estimated values and the actual value. MSE is a risk function, corresponding to the expected value of the squared error loss. The fact that MSE is almost always strictly positive (and not zero) is because of randomness or because the estimator does not account for information that could produce a more accurate estimate.
Filter (signal processing)In signal processing, a filter is a device or process that removes some unwanted components or features from a signal. Filtering is a class of signal processing, the defining feature of filters being the complete or partial suppression of some aspect of the signal. Most often, this means removing some frequencies or frequency bands. However, filters do not exclusively act in the frequency domain; especially in the field of many other targets for filtering exist.
Particle filterParticle filters, or sequential Monte Carlo methods, are a set of Monte Carlo algorithms used to find approximate solutions for filtering problems for nonlinear state-space systems, such as signal processing and Bayesian statistical inference. The filtering problem consists of estimating the internal states in dynamical systems when partial observations are made and random perturbations are present in the sensors as well as in the dynamical system.
Digital signal processingDigital signal processing (DSP) is the use of digital processing, such as by computers or more specialized digital signal processors, to perform a wide variety of signal processing operations. The digital signals processed in this manner are a sequence of numbers that represent samples of a continuous variable in a domain such as time, space, or frequency. In digital electronics, a digital signal is represented as a pulse train, which is typically generated by the switching of a transistor.
White noiseIn signal processing, white noise is a random signal having equal intensity at different frequencies, giving it a constant power spectral density. The term is used, with this or similar meanings, in many scientific and technical disciplines, including physics, acoustical engineering, telecommunications, and statistical forecasting. White noise refers to a statistical model for signals and signal sources, rather than to any specific signal.
Colors of noiseIn audio engineering, electronics, physics, and many other fields, the color of noise or noise spectrum refers to the power spectrum of a noise signal (a signal produced by a stochastic process). Different colors of noise have significantly different properties. For example, as audio signals they will sound differently to human ears, and as they will have a visibly different texture. Therefore, each application typically requires noise of a specific color.
Nonlinear filterIn signal processing, a nonlinear (or non-linear) filter is a filter whose output is not a linear function of its input. That is, if the filter outputs signals R and S for two input signals r and s separately, but does not always output αR + βS when the input is a linear combination αr + βs. Both continuous-domain and discrete-domain filters may be nonlinear. A simple example of the former would be an electrical device whose output voltage R(t) at any moment is the square of the input voltage r(t); or which is the input clipped to a fixed range [a,b], namely R(t) = max(a, min(b, r(t))).
Audio signal processingAudio signal processing is a subfield of signal processing that is concerned with the electronic manipulation of audio signals. Audio signals are electronic representations of sound waves—longitudinal waves which travel through air, consisting of compressions and rarefactions. The energy contained in audio signals or sound level is typically measured in decibels. As audio signals may be represented in either digital or analog format, processing may occur in either domain.
Noise reductionNoise reduction is the process of removing noise from a signal. Noise reduction techniques exist for audio and images. Noise reduction algorithms may distort the signal to some degree. Noise rejection is the ability of a circuit to isolate an undesired signal component from the desired signal component, as with common-mode rejection ratio. All signal processing devices, both analog and digital, have traits that make them susceptible to noise.
Ensemble Kalman filterThe ensemble Kalman filter (EnKF) is a recursive filter suitable for problems with a large number of variables, such as discretizations of partial differential equations in geophysical models. The EnKF originated as a version of the Kalman filter for large problems (essentially, the covariance matrix is replaced by the sample covariance), and it is now an important data assimilation component of ensemble forecasting.
Additive white Gaussian noiseAdditive white Gaussian noise (AWGN) is a basic noise model used in information theory to mimic the effect of many random processes that occur in nature. The modifiers denote specific characteristics: Additive because it is added to any noise that might be intrinsic to the information system. White refers to the idea that it has uniform power spectral density across the frequency band for the information system. It is an analogy to the color white which may be realized by uniform emissions at all frequencies in the visible spectrum.
Root-mean-square deviationThe root-mean-square deviation (RMSD) or root-mean-square error (RMSE) is a frequently used measure of the differences between values (sample or population values) predicted by a model or an estimator and the values observed. The RMSD represents the square root of the second sample moment of the differences between predicted values and observed values or the quadratic mean of these differences. These deviations are called residuals when the calculations are performed over the data sample that was used for estimation and are called errors (or prediction errors) when computed out-of-sample.
Noise (electronics)In electronics, noise is an unwanted disturbance in an electrical signal. Noise generated by electronic devices varies greatly as it is produced by several different effects. In particular, noise is inherent in physics and central to thermodynamics. Any conductor with electrical resistance will generate thermal noise inherently. The final elimination of thermal noise in electronics can only be achieved cryogenically, and even then quantum noise would remain inherent. Electronic noise is a common component of noise in signal processing.
SignalIn signal processing, a signal is a function that conveys information about a phenomenon. Any quantity that can vary over space or time can be used as a signal to share messages between observers. The IEEE Transactions on Signal Processing includes audio, video, speech, , sonar, and radar as examples of signals. A signal may also be defined as observable change in a quantity over space or time (a time series), even if it does not carry information.
AutocorrelationAutocorrelation, sometimes known as serial correlation in the discrete time case, is the correlation of a signal with a delayed copy of itself as a function of delay. Informally, it is the similarity between observations of a random variable as a function of the time lag between them. The analysis of autocorrelation is a mathematical tool for finding repeating patterns, such as the presence of a periodic signal obscured by noise, or identifying the missing fundamental frequency in a signal implied by its harmonic frequencies.
Pink noisePink noise, noise or fractal noise is a signal or process with a frequency spectrum such that the power spectral density (power per frequency interval) is inversely proportional to the frequency of the signal. In pink noise, each octave interval (halving or doubling in frequency) carries an equal amount of noise energy. Pink noise sounds like a waterfall. It is often used to tune loudspeaker systems in professional audio. Pink noise is one of the most commonly observed signals in biological systems.
Linear regressionIn statistics, linear regression is a linear approach for modelling the relationship between a scalar response and one or more explanatory variables (also known as dependent and independent variables). The case of one explanatory variable is called simple linear regression; for more than one, the process is called multiple linear regression. This term is distinct from multivariate linear regression, where multiple correlated dependent variables are predicted, rather than a single scalar variable.
