Title :
Performance analysis of MA parameter estimation algorithms based on high-order moments
Author :
Friedlander, Benjamin ; Porat, Bow
Author_Institution :
Saxpy Comput. Corp., Sunnyvale, CA, USA
Abstract :
Results are presented concerning the performance of moving-average (MA) estimation algorithms based on high-order moments. A general lower bound is presented for the variance of estimates based on high-order sample moments. Then, an expression is given for the variance of weighted least-squares estimates, of the type recently reported in the literature. The existence of an optimal-weight matrix for such estimates is exhibited. The analytic results are verified by Monte-Carlo simulations for some specific test cases
Keywords :
Monte Carlo methods; least squares approximations; parameter estimation; statistical analysis; Monte-Carlo simulations; high-order moments; lower bound; moving average estimation algorithms; optimal-weight matrix; parameter estimation; weighted least-squares estimates; Adaptive algorithm; Contracts; Jacobian matrices; Parameter estimation; Performance analysis; Statistical distributions; Testing; Time measurement; Tin; Vectors;
Conference_Titel :
Acoustics, Speech, and Signal Processing, 1988. ICASSP-88., 1988 International Conference on
Conference_Location :
New York, NY
DOI :
10.1109/ICASSP.1988.197128
