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The iterative Wiener filter, which successively uses the Wiener-filtered signal as an improved prototype to update the covariance estimates, is investigated. The convergence properties of this iterative filter are analyzed. It has been shown that this iterative process converges to a signal which does not correspond to the minimum mean-squared-error solution. Based on the analysis, an alternate iterative filter is proposed to correct for the convergence error. The theoretical performance of the filter has been shown to give minimum mean-squared error. In practical implementation when there is unavoidable error in the covariance computation, the filter may still result in undesirable restoration. Its performance has been investigated and a number of experiments in a practical setting were conducted to demonstrate its effectiveness.>
Hillery et al. (Tue,) studied this question.