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An efficient algorithm for estimating the parameters of superimposed exponential signals |
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| Authors: | Z D Bai C R Rao M Chow and D Kundu |
| Institution: | a Department of Statistics and Applied Probability, National University of Singapore, 3 Science Drive 2, Singapore 117543, Singapore b Department of Statistics, The Pennsylvania State University, University Park, PA 16802, USA c Department of Mathematics, Indian Institute of Technology, P.O. Box I.I.T., Kanpur, Pin. 208016, India |
| Abstract: | An efficient computational algorithm is proposed for estimating the parameters of undamped exponential signals, when the parameters are complex valued. Such data arise in several areas of applications including telecommunications, radio location of objects, seismic signal processing and computer assisted medical diagnostics. It is observed that the proposed estimators are consistent and the dispersion matrix of these estimators is asymptotically the same as that of the least squares estimators. Moreover, the asymptotic variances of the proposed estimators attain the Cramer–Rao lower bounds, when the errors are Gaussian. |
| Keywords: | Cramer–Rao lower bound Equivariance linear prediction Forward and backward linear prediction Maximum likelihood estimators Superimposed exponential signals |
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