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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 which is the sum of independent signal and noise vectors with zero mean and covariances and . The generalized Wiener Filter is the linear operator which minimizes the expected residual between the estimated signal and the true signal, . The that minimizes this is , resulting in the Wiener estimator . 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 using the identity .
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