The statistical performance of state-variable balancing and Prony's method in parameter estimation
- 24 March 2005
- conference paper
- Published by Institute of Electrical and Electronics Engineers (IEEE)
- Vol. 12, 1549-1552
- https://doi.org/10.1109/icassp.1987.1169515
Abstract
This paper presents a statistical analysis of the state-variable balancing and Prony methods for estimating the parameters of exponential signals in the presence of additive noise. The case of frequency estimation for a single sinusoid is carried out in detail. Analytical expressions for the variances of the frequency estimates at high signal-to-noise ratios are derived. The calculated variances are compared to the Cramer-Rao bound. The results are validated by simulations over a wide range of signal-to-noise ratios. The analysis and simulations show that the state-variable balancing method can provide slightly more accurate frequency estimates while avoiding the problem of selecting the signal zeros of the Prony polynomial.Keywords
This publication has 6 references indexed in Scilit:
- On the probability density of signal-to-noise ratio in an improved adaptive detectorPublished by Institute of Electrical and Electronics Engineers (IEEE) ,2005
- High resolution spectral method for spatial discrimination of closely spaced correlated sourcesPublished by Institute of Electrical and Electronics Engineers (IEEE) ,2005
- Deterministic balancing and stochastic model reductionIEEE Transactions on Automatic Control, 1985
- Estimating the parameters of exponentially damped sinusoids and pole-zero modeling in noiseIEEE Transactions on Acoustics, Speech, and Signal Processing, 1982
- Principal component analysis in linear systems: Controllability, observability, and model reductionIEEE Transactions on Automatic Control, 1981
- Frequency estimation with maximum entropy spectral estimatorsIEEE Transactions on Acoustics, Speech, and Signal Processing, 1980