Lattice algorithm for adaptive stable identification and robust reconstruction of non stationary AR processes with missing observations

Rawad Zgheib (1) , Gilles Fleury (1) , Elisabeth Lahalle (1)

1 SUPELEC-Campus Gif

This paper deals with the problem of adaptive reconstruction and identification of non stationary AR processes with randomly missing observations. Existent methods use a direct realization of the filter. Therefore, the estimated parameters may not correspond to a stable all-pole filter. In addition, when the probability of missing a sample is high, existent methods may converge slowly or even fail to converge. We propose, at our knowledge, the first algorithm based on the lattice structure for online processing of signals with missing samples. It is an extension of the RLSL algorithm to the case of missing observations, using a Kalman filter for the prediction of missing samples. The estimated parameters guarantee the stability of the corresponding all-pole filter. In addition it is robust to high probabilities of missing a sample. It offers a fast parameter tracking even for high probabilities of missing a sample. It is compared to the Kalman pseudo linear RLS algorithm, an already proposed algorithm using a direct realization of the filter. The proposed algorithm shows better performance in reconstruction of audio signals.

Mots clés: missing observations; lattice; identification; reconstruction; stability; robustness

Domaines: Modélisation et simulation; Traitement du signal et de l'image [eess.SP]; Statistiques [math.ST]; Théorie [stat.TH]; Traitement du signal et de l'image [eess.SP]

Rawad Zgheib, Gilles Fleury, Elisabeth Lahalle. Lattice algorithm for adaptive stable identification and robust reconstruction of non stationary AR processes with missing observations. IEEE Transactions on Signal Processing, 2008, Vol. 56, pp. 2746-2754. ⟨10.1109/TSP.2008.917033⟩. ⟨hal-00288609⟩