A Note on IIR Filters with Random Parameters
Abstract:
The infinite impulse response (IIR) filter of an AR(1) process is studied under a random parameter assumption. The statistical properties of the random transfer function are derived. Stochastic process modeling is also considered. Finally, a conclusion section is given.
Author(s):
Reza Habibi, Department of Statistics, Central Bank of Iran
DOI:
Keywords:
AR(1) process, Beta distribution, IIR filter, Random parameter, Transfer function
References:
Lyons, R. G. (2011). Understanding digital signal processing. Prentice Hall.
Zhang, J. and Wu, Y. (2002). Beta Approximation to the Distribution of Kolmogorov-Smirnov Statistic. Annals of the Institute of Statistical Mathematics 54, 577-584. http://dx.doi.org/10.1023/A:1022463111224
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