Statistical analysis of SVD-based Prony techniques

Author

Steedly, William M. ; Ying, Ching-Hui J. ; Moses, Randolph L.

Author_Institution

Dept. of Electr. Eng., Ohio State Univ., Columbus, OH, USA

fYear

1991

fDate

4-6 Nov 1991

Firstpage

232

Abstract

The authors present an analysis of parameter variance statistics for the SVD-Prony method applied to damped exponential signals. The covariance matrix of the estimated parameters for this method is derived. The parameters include the magnitudes and angles of the poles, and the magnitudes and angles of the amplitude coefficients. The theoretical results are verified using Monte Carlo simulation studies. The variance results are compared to the corresponding Cramer-Rao bounds for several cases

Keywords

Monte Carlo methods; matrix algebra; signal processing; statistical analysis; Cramer-Rao bounds; Monte Carlo simulation; SVD-Prony method; amplitude coefficients; angles; covariance matrix; damped exponential signals; magnitudes; parameter variance statistics; poles; statistical analysis; Active noise reduction; Covariance matrix; Direction of arrival estimation; Equations; Frequency estimation; Frequency measurement; Parameter estimation; Statistical analysis; Statistics; Vectors;

fLanguage

English

Publisher

ieee

Conference_Titel

Signals, Systems and Computers, 1991. 1991 Conference Record of the Twenty-Fifth Asilomar Conference on

Conference_Location

Pacific Grove, CA

ISSN

1058-6393

Print_ISBN

0-8186-2470-1

Type

conf

DOI

10.1109/ACSSC.1991.186447

Filename

186447