An Insightful Overview of the Wiener Filter for System Identification

Efficiently solving a system identification problem represents an important step in numerous important applications. In this framework, some of the most popular solutions rely on the Wiener filter, which is widely used in practice. Moreover, it also represents a benchmark for other related optimization problems. In this paper, new insights into the regularization of the Wiener filter are provided, which is a must in real-world scenarios. A proper regularization technique is of great importance, especially in challenging conditions, e.g., when operating in noisy environments and/or when only a low quantity of data is available for the estimation of the statistics. Different regularization methods are investigated in this paper, including several new solutions that fit very well for the identification of sparse and low-rank systems. Experimental results support the theoretical developments and indicate the efficiency of the proposed techniques.