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1986 IEEE TRANSACTIONS ON SIGNAL PROCESSING, VOL. 50, NO.

8, AUGUST 2002

Scale-Invariant Nonlinear Digital Filters


Ronald K. Pearson

Abstract—Many signal processing applications involve proce-


dures with simple, known dependences on positive rescalings of
the input data; examples include correlation and spectral anal-
ysis, quadratic time–frequency distributions, and coherence anal-
ysis. Often, system performance can be improved with pre- and/or
post-processing procedures, and one of the advantages of linear
procedures (e.g., smoothing and sharpening filters) is their scale-in- Fig. 1. Pre- and post-processing filters.
variance ( implies ). There are, however,
important cases where linear processing is inadequate, motivating scribed by (1), then so does the composite system shown in
interest in nonlinear digital filters. This paper considers the general
Fig. 1.
problem of designing nonlinear filters that exhibit the following
scaling behavior: implies for some 0, Much research in the area of nonlinear digital filters has been
with particular emphasis on the case = 1. Results are presented motivated by the fact that linear pre- and post-processing is not
for two general design approaches. The first is the top-down design always adequate: a point discussed further in Section II. Since
of these filters, in which a relatively weak structural constraint is
nothing can be said about the scaling behavior of general non-
imposed (e.g., membership in the nonlinear FIR class), and a com-
plete characterization is sought for all filters satisfying the scaling linear systems, it is possible that the overall performance of the
criterion for some fixed . The second approach is the bottom-up system shown in Fig. 1 could depend strongly on the units or
design of filters satisfying specified scaling behavior by intercon- normalization chosen for the data sequences . Conversely,
necting simpler filter structures with known scaling behavior. Ex- it is possible to design nonlinear filters that exhibit scaling be-
amples are presented to illustrate both the simplicity and the utility
havior for any , including . Hence, for the
of these design approaches.
scalar case , if is a filter of class belongs to
Index Terms—Feedback, homogeneity, nonlinear FIR filters, class , and belongs to class , then it follows from (1)
recursive filters, Volterra filters.
that the composite system shown in Fig. 1 belongs to class
for . For , extensions are straightforward if
I. INTRODUCTION processes each input sequence independently with a class
filter.
T HIS paper considers the general problem illustrated
in Fig. 1, where
real-valued data sequence for
is a one-dimensional (1-D),
, and is any one
The primary focus of this paper is the design of nonlinear
filters belonging to the class for some fixed , with
particular emphasis on the special case . First, however, it
of the many popular analysis procedures discussed in Section II
is useful to note the range of important practical problems that
that exhibit the following general scaling behavior:
fall into the general class just described.

(1) II. APPLICATIONS OF SCALE-INVARIANCE


The standard estimator for the cross-correlation function
for some set of exponents ; for the important special case between the sequences and is
, these classes will be denoted . In practice, such pos-
itive rescalings of the variables involved commonly arise due (2)
to normalizations or unit conversions (e.g., pressures in either
pounds per square inch or millimeters of mercury), and (1) pro-
vides a simple means of accounting for these differences in com- and a classic application of cross-correlation estimates
paring results obtained from different datasets. Often, substan- is in time-delay estimation [1]. There, it is assumed that
tial performance enhancements are possible through the use of , where is the unknown time-delay
pre- and/or post-processing filters, which are denoted and to be estimated, and is a zero-mean noise sequence,
in Fig. 1. One of the many advantages of linear pre- and uncorrelated with ; physically, this situation arises when
post-processing is that if exhibits the scaling behavior de- and represent two measurements of the same
physical quantity made at two different fixed locations with
respect to some moving medium whose transit time or velocity
Manuscript received October 12, 2000; revised April 11, 2002. The associate
editor coordinating the review of this paper and approving it for publication was is to be determined. Under these assumptions, will
Dr. Gonzalo R. Arce. exhibit a maximum when , providing a practical basis
The author is with the Tampere International Center for Signal Processing, for time-delay estimation. Further, note that if is rescaled
Tampere University of Technology, Tampere, Finland (e-mail: pearson@
cs.tut.fi). by some positive constant and is rescaled by some
Publisher Item Identifier 10.1109/TSP.2002.800393. positive constant , the cross-correlation estimate is rescaled
1053-587X/02$17.00 © 2002 IEEE
PEARSON: SCALE-INVARIANT NONLINEAR DIGITAL FILTERS 1987

by the positive constant , but the resulting time-delay where is a non-negative function that penalizes large errors
estimate is unmodified less than , and is some scale estimate com-
puted from the error sequence [5]. A specific signal pro-
(3) cessing application of this idea is the data cleaner proposed by
Martin and Thomson [6], who develop a preprocessing proce-
In the presence of outliers—particularly common-mode outliers dure for nonparametric spectrum estimation based on a scale-in-
that occur in and simultaneously [2]—the perfor- dependent model obtained with outlier-resistant estimation pro-
mance of this procedure can degrade badly; further, linear filters cedures, which is then used to implement a Kalman filter with
provide little protection against outliers, but nonlinear filters can scaling behavior that is ultimately applied to estimate the
substantially improve the performance of this time-delay esti- nominal (i.e., uncontaminated) part of the observed data se-
mation procedure [3, Sec. 8.1.2]. quence.
A second example of a scale-independent characterization is The class of univariate data characterizations includes
the magnitude-squared coherence between two sequences all quadratic, modulation-invariant spectrum estimators, which
and , which is defined as may be represented as [7]:

(4) (8)

where denotes the cross-spectrum between and where is an symmetric matrix that does not
, with and denoting the corresponding au- depend on the frequency . Similarly, Cohen’s class of quadratic
tospectra. Since these spectra are linear Fourier transforms of time–frequency distributions [8] also belongs to the class of
the associated auto- and cross-correlation functions, it follows analysis procedures. An interesting application of nonlinear
that scaling and by and , respectively, simply post-processing is that proposed in [9], where the authors con-
scales both numerator and denominator in (4) by ; there- sider the use of the following affine filter structure for suppres-
fore, is unchanged. In fact, since magnitude squared co- sion of unwanted cross-terms in time–frequency distributions:
herence represents a test statistic for the existence of a linear
dynamic model relating to , it is not difficult to show
that is invariant under arbitrary linear filtering of either (9)
data sequence. Hence, the only pre-processing procedures that
can improve these estimates (e.g., compensate for outliers) are
where
necessarily nonlinear.
nonlinear function mapping the real line into the unit
Another important analysis procedure that exhibits simple
interval [0, 1];
scaling behavior is ordinary least squares (OLS) regression,
sequence of constants;
which arises commonly in linear dynamic model identification
reference value for the filter;
[4]. Specifically, if and represent the observed input
scale estimate analogous to in (7).
and output, respectively, of the following linear model:
Here, is a normalization parameter given by

(5)
(10)

the OLS estimate of the parameter vector


is obtained by minimizing the sum of the Note that if and are chosen to belong to the class , then
squared prediction errors to obtain the affine filter also belongs to the class .
Other important analysis procedures exhibiting simple
(6) scaling behavior include bispectra (which belong to ),
trispectra (which belong to ), and higher order extensions
where is the vector containing all predictable obser- of time–frequency distributions [10]. Similarly, the energy
vations for through , and operator used in amplitude and frequency demodulation [11]
is an matrix of past input and output belongs to the class .
values. Note that scaling and by a common positive
parameter scales all elements of both and by , leaving III. TOP-DOWN DESIGN OF SCALE-INVARIANT FILTERS
unchanged. This characteristic of OLS estimates is retained
In the top-down approach to the design of filters, a partial
by most robust regression formulations, which replace the ex-
structure specification is given, and a complete characterization
tremely outlier-sensitive sum of squared errors on which OLS
of all filters in this structure class is sought. An extremely
procedures are based with an alternative, e.g.,
important case where this approach is fruitful is that of nonlinear
FIR filters, which is defined by
(7)
(11)
1988 IEEE TRANSACTIONS ON SIGNAL PROCESSING, VOL. 50, NO. 8, AUGUST 2002

where we may assume without loss of generality, and The advantage of this representation is that the class of posi-
the function is arbitrary. Note that most tive-homogneous functions of order zero is invariant under an
popular nonlinear filters belong to this class, including the vast enormous range of mathematical operations. In particular, if
majority of those described in the nonlinear filtering books [12] and are two positive-homogeneous functions of
and [13]. order zero, so too are their sum, their difference, their product,
It is easy to see that the system defined by (11) belongs to and their quotient (provided this is well-defined). In addition,
the class if and only if the function does; conversely, the composition of any positive-homogeneous function of order
for the recursive case considered later in this section, the anal- zero with any scalar function is also positive-homoge-
ogous result does not hold. The following lemma establishes a neous of order zero. Consequently, it is easy to construct addi-
useful characteristic of these functions; in particular, note that tional functions, given simple examples like the following:
the conditions of the lemma are satisfied if is continuous
at . or
Lemma 1: For any , if the function belongs to the
class and is bounded on some open set containing ,
then . .
Proof: Since is bounded on an open set containing
is finite. Since , we have Since rank-orderings of a data sequence are invariant under
positive scalings of the data, all functions of ranks within the
data window belong to . This observation motivates the
following extension of the class of combination filters discussed
for all , which is a result that can only hold if . by Gandhi and Kassam [16]. Specifically, consider the class of
filters defined by
Aczél gives a complete characterization for positive-homo-
geneous functions [14, p. 44], which extends to the following
construction for functions: (16)

(12) where is a positive-homogeneous func-


tion of order zero for . The class of
combination filters is obtained by taking and
where the function and the norm are
, where is the rank of in the data window .
both arbitrary. In fact, taking in (12) shows that
This filter class includes the median filter, arbitrary L-filters,
any function can be expressed in this form. Although this
and more general structures that make use of both rank-order
representation is completely general, it is not always the most
and time-order . Another interesting special case of (16) for
convenient with which to work in practice, motivating the fol-
is the affine filter class defined by (9) and (10), which are
lowing closely related results.
obtained by taking
First, recall that a norm on is any real-valued mapping
satisfying [15, p. 160]
(17)
for all
for all real where both and are functions of the data window
for all in (13) vector .
In contrast with the nonlinear FIR filter class, the situation
Since the essence of the representation (12) lies in the first two is much more complicated for recursive filter structures. For
of these conditions, may be replaced by any positive-ho- example, consider the following generalization of the recursive
mogeneous map to obtain the following median filter [17], which is given by , where
function known as the -homogenization of by and
examined further in Section IV: (18)

and is any function mapping into . For this filter


(14) to belong to the class , it is necessary that satisfy the
=0.
following condition for all and all input sequences:
Another useful modification of (12) is obtained by noting that
belongs to the class and the function be-
longs to the class . More generally, note that if is any (19)
member of and is any member of , the following
function belongs to class In addition, for the filter indicated by (18) to be well-defined,
it is necessary to specify its initialization. Define -consistent
(15) initialization as the requirement that for , where
PEARSON: SCALE-INVARIANT NONLINEAR DIGITAL FILTERS 1989

may be taken either as zero or as for all . Under


-consistent initialization, for , (19) implies that

(20)

for all sequences of real numbers


and all . If satisfies this functional equation, it fol-
lows easily by induction that the -consistently initialized filter
defined by (18) belongs to class .
When , (20) reduces to the defining condition for a
function in class , but for , this equation appears
to be much more difficult to solve; in particular, note that (20) is
generally not satisfied by taking as a member of the class
. Conversely, it is possible to obtain a partial solution by
restricting consideration to the following specialization of (18): Fig. 2. Volterra filter step responses.

(21) It follows from (14) that the 1-homogenization of the quadratic


This restriction reduces (20) to the following functional equa- filter defined by (24) may be written as
tion involving both and
(25)
.
(22) For the common case , the effect of homogenization
If we now suppose and , these condi- is to modify the quadratic term in the Volterra filter, but this
tions reduce to the following requirement: modification can have some unexpected consequences, as the
following example illustrates.
(23) Specifically, consider the second-order Volterra filter

For general , one solution is to take and , (26)


yielding a recursive variation of the nonlinear FIR construc-
tion defined by (15). For example, if which is chosen because it exhibits a nonmonotonic amplitude
is a function of the ranks of the past filter outputs and dependence that is characteristic of second-order Volterra fil-
is any function of current and ters and that conflicts strongly with the requirements of homo-
future inputs, the resulting recursive, noncausal filter belongs geneity. Step responses of this filter are shown in Fig. 2 for steps
to the class . of amplitude and , showing this nonmonotonic be-
Conversely, taking and also yields a recursive havior clearly. In particular, note that the response to a step of
filter; however, it is one that depends entirely on its initial- amplitude settles to a smaller final value than the response
ization for its scaling behavior. More generally, it is important to a step of amplitude . For comparison, Figs. 3–5 show
to emphasize the care required in defining and initializing the the corresponding step responses for this Volterra filter, homog-
filters described by (21) since if zero initial conditions are as- enized with respect to the following three functions
sumed and , it follows that for all .

IV. HOMOGENIZATION OF VOLTERRA FILTERS


The class of Volterra filters may be obtained by taking the
nonlinear function in (11) as a multivariable polynomial.
Volterra filters have been employed in a variety of applications,
including echo cancellation [18], channel equalization [19], and
loudspeaker linearization [20]. Since each term in the Volterra median (27)
series expansion is individually homogeneous of order for
some non-negative integer , Volterra filters that combine terms Note that corresponds to the Euclidean norm of the
of different orders cannot belong to the class for any real Volterra filter input vector and is therefore positive-homoge-
, which is an observation generalizing the result that the only neous and zero only when the Volterra filter response is zero.
Volterra models exhibiting positive-homogeneity (of order 1) The functions and are not norms on the input
are linear [3, ch. 7]. Conversely, it is interesting to examine the vector, which is an important point that is explored further in
results obtained by homogenizing the following Volterra model Section V.
with respect to various systems: The Euclidean homogenization retains some of the asym-
metric character of the original Volterra model but modifies
(24) the response enough to achieve positive-homogeneity of order
1990 IEEE TRANSACTIONS ON SIGNAL PROCESSING, VOL. 50, NO. 8, AUGUST 2002

of fully homogeneous and static-linear systems and their interre-


lations, see [3, ch. 3]. Despite their similar appearances, careful
comparison of Figs. 4 and 5 shows that the results of these two
homogenizations are somewhat different.

V. NONLINEAR FIR FILTER STABILITY


A system is bounded-input, bounded-output (BIBO) stable if,
given any uniform bound on the input sequence, there exists a
uniform bound on the response. It is easily established [3, p.
149] that if in (11) is continuous for all , the resulting
FIR filter is BIBO stable. For filters, we have the following,
much stronger result.
Theorem 1: Suppose is a positive-homoge-
neous function of order . Then, the nonlinear FIR filter
Fig. 3. Euclidean (L2) homogenization. defined by is BIBO stable if and only if is contin-
uous at .
Proof: First, suppose is continuous at . By
Lemma 1, ; therefore, given , there exists
such that

For any bounded set , there exists such that

Next, define , and note that

However, , and therefore

Fig. 4. Linear homogenization.

establishing the BIBO stability of the system.


Conversely, if the system is BIBO stable, there exists
such that implies ; hence,
by Lemma 1. Given , let , and note that
implies

Since is equivalent to , it follows that

establishing that is continuous at .


Fig. 6 shows that this continuity condition does not hold for
the linear homogenization of the Volterra filter described by (25)
Fig. 5. Median homogenization.
with in (27). Specifically, the plot shows the
response of this filter to a noisy sinusoid, which can exhibit ar-
bitrarily large magnitudes. The basic cause of this difficulty is
. In contrast, both the linear homogenization and the me- that can become arbitrarily small relative to some com-
dian homogenization, which are shown in Figs. 4 and 5, exhibit ponent of the vector .
symmetric step responses. Specifically, these responses are fully Problems of this sort may be overcome by restricting consid-
homogeneous, meaning that for all real . eration to functions that cannot become “too small” rela-
This class of systems is a proper subset of the larger class of tive to the components of . For example, suppose there exists
static-linear systems, which may be characterized by a well-de- such that
fined dc gain, despite their nonlinearity; for the two examples
shown here, this dc gain is zero. For a more detailed discussion (28)
PEARSON: SCALE-INVARIANT NONLINEAR DIGITAL FILTERS 1991

Let and be any two distinct vectors in , and note that there
exists such that and . Hence

and

Since this result holds for all .


Finally, it is important to note that stability is a much more
complex topic for the recursive filter structures discussed in Sec-
tion III and is beyond the scope of this paper. It is worth noting,
however, that for the special case defined by (21), if the function
Fig. 6. Linearly homogenized response to a noisy sinusoid. is bounded on and is continuous at zero, it fol-
lows from Theorem 1 that the resulting recursive filter is BIBO
for all . This condition leads to the following stability stable.
result.
Theorem 2: Suppose is a positive-homoge- VI. BOTTOM-UP DESIGN OF SCALE-INVARIANT FILTERS
neous function satisfying (28) for some . If The results presented in Section III began with a relatively
on the -cube , the -homogenized system weak structural restriction, imposed the scaling condition,
defined by (14) is BIBO stable if defines a BIBO stable and obtained a functional equation describing all filters in that
FIR filter. class; in favorable cases, this equation can be solved to obtain
Proof: Let , and suppose (28) holds. It then explicit representations for filter structures, as illustrated in
follows that for Section III. The following discussion considers the opposite ap-
proach: One or more specific filters exhibiting desirable scaling
behavior are taken as given, and interconnection strategies are
sought that preserve this scaling behavior. For example, con-
Hence, for all . If defines a sider the following interconnections of any two systems, and
BIBO stable system and for all , there exists some
such that , implying , 1) the cascade connection:
establishing the desired result.
Note that the boundedness condition imposed on holds
for all continuous since continuous functions are bounded
on compact sets [21, p. 11]. Further, note that (28) holds for all 2) the parallel sum connection:
norms on ; this result is a consequence of the fact that all
norms are equivalent on finite-dimensional vector spaces [15,
p. 173]). Specifically, the norms and on are equiv-
3) the parallel difference connection:
alent if there exist constants such that [15,
p. 173]

(29) 4) the feedback connection shown in Fig. 7.


If and , it follows immediately that
for all . Since all norms on are equivalent to , the cascade interconnection belongs to the class ,
(28) follows as a consequence of (29). As a corollary, it follows where . Hence, if we wish to consider filter classes
that the homogenization of the quadratic Volterra model con- that are closed under cascade connection, it follows that
sidered here by any norm yields a positive-homogeneous model , which can only occur if or . In contrast, it
that is BIBO stable. is easy to see that the class is closed under parallel sum and
Given the connections discussed in Section III between difference connections for any . In fact, this result was
and functions, the following result is a particularly inter- used explicitly in the construction of the filter class defined by
esting contrast to Theorem 1. (16) in Section III.
Lemma 2: Any function that is continuous at The feedback interconnection is the most restrictive of the
is constant. four considered here. In particular, suppose in Fig. 7,
Proof: Suppose is continuous at . Given implying that . This observation has two conse-
any , there exists such that quences: First, the only possible consistent scaling behavior is
that for , and second, this scaling behavior is only possible
if implies . If and ,
1992 IEEE TRANSACTIONS ON SIGNAL PROCESSING, VOL. 50, NO. 8, AUGUST 2002

Fig. 7. Feedback connection F 5 F . Fig. 8. Feedback median filter.

this condition holds only if . Hence, if we require all


components to come from the same class , this is only pos-
sible for . Conversely, if the composite system
involves at least one sample delay (a sufficient condition for the
feedback system to be well-defined), it is easy to show by in-
duction that if both components belong to the class , so does
their feedback interconnection.

VII. EXAMPLE: FEEDBACK MEDIAN FILTER


To illustrate the utility of the ideas just presented, first con-
sider the causal median filter

median (30)
Fig. 9. Original and filtered signals, G = 0 versus G = 0:8.
This filter may be viewed as the usual symmetric median filter
based on a moving window of width but shifted back-
same reasoning that the resulting feedback filter will exhibit a
ward in time by units to make it strictly causal. For the
delayed root sequence set that is the image of the root sequence
symmetric case, the root sequences are invariant under the
set for the corresponding symmetric (i.e., noncausal) version of
action of the filter, and complete characterizations are available
under this same linear transformation.
[22]. Denote the set of such sequences , and note that if
Fig. 9 compares the performance of this filter with
, then . Next, consider the feed-
and with that of the causal median filter in
back connection , where denotes the constant gain
response to a sinusoid with a single outlier. The dashed curve
map . If the intermediate variable appearing in
shows the median filter response, which exhibits pronounced
Fig. 8 belongs to the set , it follows that
clipping at the peaks of the sinusoid. With , the feed-
(31) back median filter exhibits a much smoother response but with
comparable outlier rejection. The effect of the feedback may be
Consequently, if , the feedback combination seen in the fact that the sinusoidal degradation of this filter in-
is equivalent to the linear filter defined by the transfer function creases somewhat immediately after the spike, but within about
relation one cycle of the sinusoid, this degradation has decreased to what
it was before the spike was encountered. Preliminary experience
(32) with this filter suggests that performance improves (in the sense
of sinusoidal distortion) as increases from zero but then de-
This observation motivates the feedback median filter structure grades badly for sufficiently large values of .
shown in Fig. 8; in particular, note that if , then
. In addition, note that it follows from (31) that this VIII. SUMMARY
result holds if
This paper began by noting that many signal processing algo-
for any (33) rithms of practial importance exhibit simple scaling behavior,
including most spectral characterizations and their extensions
In other words, this condition defines a set of delayed roots (e.g., bispectra and time-frequency distributions). Further,
that suffer only a unit delay when they are processed by certain problems like outliers or cross-terms in time–frequency
the filter shown in Fig. 8; further, the set is the image of distributions either require or benefit significantly from the
under the causal linear filter . Conversely, if is use of nonlinear pre- or post-processing procedures. In gen-
any sequence such that , it follows first that eral, nothing can be said about the scaling behavior of these
and second that . Consequently, the impulse procedures, raising the prospect of unknown or complicated
response of this filter is identically zero for all , suggesting dependence of the final results on input data representation
that it retains the impulsive noise immunity of the median filter. (e.g., normalization or physical units). This problem may be
Finally, note that if the causal median filter appearing in overcome by requiring the nonlinear filter to exhibit simple
Fig. 8 is replaced with any other filter defined on the scaling behavior, and this paper has considered both top-down
data window , it follows by the and bottom-up design procedures for positive-homogeneous
PEARSON: SCALE-INVARIANT NONLINEAR DIGITAL FILTERS 1993

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REFERENCES Ronald K. Pearson received the B.S. degree in


[1] F. Mesch, R. Fritsche, and H. Kipphan, “Transit time correlation—A physics from the University of Arkansas, Monticello,
survey on its applications to measuring transport phenomena,” Trans. in 1973, the M.S.E.E. degree in solid state materials
Amer. Soc. Mech. Eng., J. Dyn. Syst. Meas. Contr., pp. 414–420, Dec. and devices from the Massachusetts Institute of
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Trans. Contr. Syst. Technol., vol. 10, pp. 55–63, 2002. He then joined the DuPont Company, Newark,
[3] , Discrete-Time Dynamic Models. Oxford, U.K.: Oxford Univ. DE, where he remained until 1997, working in the
Press, 1999. areas of nonlinear system identification, exploratory
[4] L. Ljung, Systems Identification: Theory for the User, 2nd data analysis, electronic instrumentation, and
ed. Englewood Cliffs, NJ: Prentice-Hall, 1999. nonlinear filtering. From 1997 to 2001, he was
[5] P. J. Huber, Robust Statistics. New York: Wiley, 1981. with the Institut für Automatik at ETH Zürich, Switzerland. He is currently a
[6] R. D. Martin and D. J. Thomson, “Robust-resistant spectrum estima- Visiting Professor with the Tampere International Center for Signal Processing,
tion,” Proc. IEEE, vol. 70, pp. 1097–1114, 1982. Tampere University of Technology, Tampere, Finland.

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