Filter design, linear

Especially digital

July 24, 2017 — September 18, 2020

dynamical systems
Hilbert space
signal processing
statistics
time series

Linear Time-Invariant (LTI) filter design is a field of signal processing, and a special case of state filtering that doesn’t necessarily involve a hidden state.

z-Transforms, bilinear transforms, Bode plots, design etc.

I am going to consider this in discrete time (i.e. for digital implementation) unless otherwise stated, because I’m implementing this in software, not with capacitors or whatever. For reasons of tradition we usually start from continuous time systems, but this is not necessarily a convenient mathematical or practical starting point for my own work.

This notebook is about designing properties of systems to given specifications, e.g. signal to noise ratios, uncertainty principles…

For inference of filter parameters from data, you want system identification; and for working out the hidden states of the system given the parameters, you want the more general estimation theory in state filters.

Related, musical: delays and reverbs.

1 Relationship of discrete LTI to continuous time filters

🏗 See signal sampling.

2 Quick and dirty digital filter design

3 State-Variable Filters

A vacuous name; every recursive filter has state variables. Less ambiguous: Chamberlin and Zölzer filters.

Nigel Redmon, digital SVF intro.

4 Time-varying IIR filters

By popular acclaim, Laroche (2007) seems to be the canonical example of design rules for filters that vary over time, and Wishnick (2014) is the most popular single-channel application, which proves the effectiveness of the cytomic variable filters The latter has source code online. See also (Carini, Mathews, and Sicuranza 1999; Murakoshi, Nishihara, and Watanabe 1994; Koshita, Abe, and Kawamata 2018).

5 On graphs

No time to go deep on this rn, but signal processing on graphs is a thing.

6 References

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Adcock, Hansen, and Roman. 2015. “The Quest for Optimal Sampling: Computationally Efficient, Structure-Exploiting Measurements for Compressed Sensing.” In Compressed Sensing and Its Applications: MATHEON Workshop 2013. Applied and Numerical Harmonic Analysis.
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