Hi Daniele,

I would recommend the Numerical recipes in Fortran 77, obviously not for the language but for its mathematical sections and its discussions of coding algorithms efficiently. Section 13.3 is about wiener filtering with FFT.

Hope this helps,
Jonathan

On Tue, Jan 25, 2011 at 3:04 PM, Daniele Nicolodi <daniele@grinta.net> wrote:
Hello,

I'm trying to write a numerical implementation of Wiener filtering /
decorrelation (extraction of a signal from noisy time series). What I'm
trying to do is the construction of the time domain filter from a
measurement of the power spectrum of the noise and the shape of the signal.

However I'm encountering some problems that are beyond my knowledge of
the matter. Can someone suggest me a reference text book, or other resource?

Thank you in advance. Cheers,
--
Daniele
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Jonathan Rocher,
Enthought, Inc.
jrocher@enthought.com
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