Spectral Factorization, Whitening- and Estimation Filter -- Stability, Smoothness Properties and FIR Approximation Behavior

A Wiener filter can be interpreted as a cascade of a whitening- and an estimation filter. This paper gives a detailed investigates of the properties of these two filters. Then the practical consequences for the overall Wiener filter are ascertained. It is shown that if the given spectral densities are smooth (Hoelder continuous) functions, the resulting Wiener filter will always be stable and can be approximated arbitrarily well by a finite impulse response (FIR) filter. Moreover, the smoothness of the spectral densities characterizes how fast the FIR filter approximates the desired filter characteristic. If on the other hand the spectral densities are continuous but not smooth enough, the resulting Wiener filter may not be stable.Comment: To appear in the proceedings of the IEEE International Symposium on Information Theory, Adelaide, Astralia, Sept. 4-9, 200