Example: FIR-Filtered White Noise
Let's estimate the autocorrelation and power spectral density of the ``moving average'' (MA) process
![]() |
(7.34) |
where
![$ v(n)$](http://www.dsprelated.com/josimages_new/sasp2/img1029.png)
Since
,
![]() |
(7.35) |
for nonnegative lags (
![$ l\ge0$](http://www.dsprelated.com/josimages_new/sasp2/img1205.png)
![]() |
(7.36) |
Thus, the autocorrelation of
![$ h$](http://www.dsprelated.com/josimages_new/sasp2/img46.png)
![]() |
(7.37) |
The true power spectral density (PSD) is then
![]() |
(7.38) |
Figure 6.3 shows a collection of measured autocorrelations together with their associated smoothed-PSD estimates.
![]() |
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Example: Synthesis of 1/F Noise (Pink Noise)
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Matlab for Welch's Method