Two-dimensional sinusoidal amplitude estimation with application to two-dimensional system identification

DOI10.1007/S00034-002-0618-7MaRDI QIDQ1851456zbMATH OpenOpenAlexFDO

Authors Hongbin Li, Petre Stoica, Jian Li, Wei Sun

Publication date 9 November 2003

Published in Circuits, Systems, and Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00034-002-0618-7

zbMATH Keywords

Cramér-Rao boundfinite sampleslower variance boundssinusoidal signalssystem identificationtwo-dimensional amplitude estimationweighted least-squares

Mathematics Subject Classification ID

Multivariable systems, multidimensional control systems (93C35) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12) Least squares and related methods for stochastic control systems (93E24) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Review text

The paper is devoted to amplitude estimation of two-dimensional sinusoidal signals from measurements corrupted by colored observation noise. The two-dimensional sinusoidal amplitude is investigated under the general frameworks of least-squares, weighted least-squares and matched-filterbank estimation. Various two-dimensional amplitudes are presented. The performances of these estimators for finite samples are compared numerically with one another as well as with the Cramer-Rao bound, the lower variance bound for any unbiased estimator. General guidelines for the selection and use of these estimators are provided. A new scheme for two-dimensional identification is introduced which has a closed-form expression. It is computationally simpler and statistically more accurate than the conventional output error method when the observation noise is colored. The Cramer-Rao bound for the two-dimensional system identification problem is also investigated in the paper. Some numerical examples are presented to illustrate the performances of the presented estimators.

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Cited in

(4)

• Amplitudes, phases and complex frequencies of 2-D Gaussian signals
• Noise space decomposition method for two-dimensional sinusoidal model
• Amplitude estimation of sinusoidal signals: Survey, new results, and an application
• On the algebraic identification of the frequencies, amplitudes and phases of two sinusoidal signals from their noisy sum

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