基于高阶矩的MA参数估计算法性能分析

ICASSP-88., International Conference on Acoustics, Speech, and Signal Processing Pub Date : 1988-04-11 DOI:10.1109/ICASSP.1988.197128

B. Friedlander, B. Porat

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引用次数: 12

摘要

给出了基于高阶矩的移动平均估计算法的性能研究结果。给出了基于高阶样本矩估计方差的一般下界。然后，给出了最近文献报道的加权最小二乘估计方差的表达式。证明了这种估计的最优权矩阵的存在性。通过蒙特卡罗仿真验证了分析结果。

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Performance analysis of MA parameter estimation algorithms based on high-order moments

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.<>

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ICASSP-88., International Conference on Acoustics, Speech, and Signal Processing

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