A representative selection of results from an extensive study of the performance of Wiener filtering under spectral uncertainty is presented. For a variety of spectral uncertainty models the Wiener filter is shown to have undesirable sensitivity to even small deviations from those signal and noise spectral densities which were used to design the filter. Performance of a robust filter (designed to have the best possible performance when the uncertainty is worst) is also examined. In most cases the robust filter's insensitivity to spectral uncertainty makes it preferable to the traditional Wiener filter.
All Science Journal Classification (ASJC) codes
- Control and Systems Engineering
- Electrical and Electronic Engineering
- game theory
- statistics, robustness