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8, AUGUST 2002
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)
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)
(20)
Let and be any two distinct vectors in , and note that there
exists such that and . Hence
and
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
nonlinear filters of order , which are denoted : Rescaling [7] C. T. Mullis and L. L. Scharf, “Quadratic estimators of the power spec-
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[17] T. A. Nodes and N. C. Gallagher, “Median filters: Some modifications
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that merits closer examination.