Performance Analysis of the Wiener Filter with Applications to Underwater Acoustic Signals

This report provides a detailed analysis of the performance of the Wiener optimal filter for estimating a signal in additive noise. Both IIR and FIR forms of the filter are considered using a first order AR model for both the signal and noise. Expressions are derived for the processing gain, mean square error and signal distortion, and plotted as a function of the model parameters. A more general form of the filter is also presented where one measure of performance, e.g., signal distortion, can be optimized with constraints on the others. Performance on this more general filter is presented and compared to that of the Wiener filter.