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Generalized Wiener filter : ウィキペディア英語版
Generalized Wiener filter

The Wiener filter as originally proposed by Norbert Wiener is a signal processing filter which uses knowledge of the statistical properties of both the signal and the noise to reconstruct an optimal estimate of the signal from a noisy one-dimensional time-ordered data stream. The generalized Wiener filter generalizes the same idea beyond the domain of one-dimensional time-ordered signal processing, with two-dimensional image processing being the most common application.
==Description==
Consider a data vector d which is the sum of independent signal and noise vectors d = s+n with zero mean and covariances \langle s^Ts\rangle=S and \langle n^Tn\rangle=N. The generalized Wiener Filter is the linear operator G which minimizes the expected residual between the estimated signal and the true signal, e = \langle(Gd-s)^T(Gd-s)\rangle. The G that minimizes this is G = S(S+N)^, resulting in the Wiener estimator \hat s = S(S+N)^d. In the case of Gaussian distributed signal and noise, this estimator is also the maximum a posteriori estimator.
The generalized Wiener filter approaches 1 for signal-dominated parts of the data, and S/N for noise-dominated parts.
An often-seen variant expresses the filter in terms of inverse covariances. This is mathematically equivalent, but avoids excessive loss of numerical precision in the presence of high-variance modes. In this formulation, the generalized Wiener filter becomes G = (S^+N^)^N^ using the identity A^+B^=A^(A+B)B^.

抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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