PREDICTION ERROR FILTERS, WHITE NOISE AND ORTHOGONAL COORDINATES*

Optimum filters can be computed using orthogonal coordinates obtained from the eigenvalues and eigenvectors of the autocorrelation matrix. The method is used to obtain unit distance prediction error filters. The output of a unit distance prediction error filter when applied to the input wavelet is an impulse at zero time. The effect on the output of added white noise is easily obtained using the approach through the orthogonal coordinates. The added white noise results in output wavelets which are no longer impulses at zero time. The decrease in time resolution gives a filter that does not increase undesirable high frequency noise as much as filters computed without white noise.

Orthogonal coordinates with little signal energy can be omitted from the filter computation resulting in output wavelets resembling those computed using added white noise.