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Filters - Mathematical Background

The process of filtering, which comprises smoothing as a special case, can be described mathematically in several equivalent ways:

Linear Algebra

Smoothing can be performed by moving a window over the signal and averaging data points within the window. In a more general setting it is a weighted average, where the weighing factors are called filter coefficients. We can split the weighted average approach into two calculation steps:
  1. an element-wise multiplication of the data points with the filter coefficients
  2. summing all the weighted points in the window
This is identical to a dot product of two vectors, where one vector consists of the data points in the window and the other vector of the filter coefficients. We can include the selection of the window in the dot product by setting the values for the filter coefficients outside of the window to zero, so our data vector will be the whole signal. The moving of the window requires us to use a different vector for the filter coefficients for each move or shift. This results in a series of vector dot products, which can be assembled into one matrix multiplication.



The mathematical operation of convolution (often represented by a star) is decribed by the following equation:
convolution equation.
Here x is the noisy signal, h stands for the filter coefficients, y is the smoothed signal, and j is the index to the data points, while i is the index for the filter coefficients. In the case that we have 2n+1 filter coefficients, the index i runs from -n to +n. So our data window stretches only n points to the right and left of the data point under consideration. This approach is computationally more efficient than the matrix multiplication approach, where the windowing has to be done by a large number of multiplications by zero.

When we pay close attention, we see that the convolution equation is for time-reversed filter coefficients, since we multiply h(-n) by x(j-(-n))=x(j+n). For most of the smoothing filters this has no meaning, since the coefficents are symmetric around the middle value.

Convolution in the Fourier Domain

It can be shown that the convolution in the Fourier domain can be represented by the following equation:
convolution equation in FT
The capitalized variables stand for the Fourier-transformed variables y, x and h. The frequency is depicted by w. In the Fourier domain convolution reduces to an element-wise multiplication of the signal and the filter coefficients. H is also called impulse reponse, since it is obtained by setting the signal x equal to an impulse, i.e. it is zero everywhere except for one data point that is '1', and convolving it with h. The Fourier transform of the result of the convolution between this signal x and h is equal to H and is called impulse reponse.

State Space Notation

The most general form of describing filters is the so-called state-space notation:
filter equation.
It is a generalized version of the convolution equation we gave above. Here the filter coefficients are given by ai and bi and the index i runs from 0 to ki instead of -n to +n. The second sum on the right includes contributions of already filtered data points. Depending on whether the filter coefficients ai and bi are zero, the filters have different properties and names.

Last Update: 2004-Jul-03