Covariance-invariant signal processing

24 March 2005

conference paper
Published by Institute of Electrical and Electronics Engineers (IEEE)

Vol. 1, 300-304
https://doi.org/10.1109/icassp.1976.1169931

Abstract

When discretizing continuous-time systems or signals, one is often interested in preserving a property termed covariance-invariance. In this paper a technique is outlined for synthesizing discrete-time systems and signals which are covariance-invariant with corresponding continuous-time systems and signals. Applications of the technique to process simulation, minimum mean-squared error estimation, and digital filter synthesis are outlined, with example designs presented for covariance-invariant Butterworth and Chebychev digital filters. Based on the frequency response of these designs it is argued that the method of covariance-invariance is superior to the methods of impulse-invariance and bilinear-z as a response matching design technique for the synthesis of digital filters. This superiority is especially apparent at sampling rates that are marginal with respect to filter critical frequencies.

Keywords

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