Maximum likelihood estimation of multiple frequencies with constraints to guarantee unit circle roots
نویسنده
چکیده
A recently proposed approximate maximum-likelihood estimator (MLE) of multiple exponentials converts the frequency estimation problem into a problem of estimating the coefficients of a :-polynomial with roots at the desired frequencies. Theoretically, the roots of the estimated polynomial should fall on the unit circle, but MLE, as originally proposed, does not guarantee unit circle roots. This drawback sometimes causes merged frequency estimates, especially at low SNR. If all the sufficient conditions for the :-polynomial to have unit circle roots are incorporated, the optimization problem becomes too nonlinear and it loses the desirable weighted-quadratic structure of MLE. In this correspondence, the exact constraints are imposed on each of the firstorder factors corresponding to individual frequencies for ensuring unit circle roots. The constraints are applied during optimization alternately for each frequency. In the absence of any merged frequency estimates, the RMS values more closely approach the theoretical Cramer-Rao (CR) bound at low SNR levels.
منابع مشابه
Asymptotic Properties of Pseudo Maximum Likelihood Estimates for Multiple Frequency I(1) Processes
In this paper we derive (weak) consistency and the asymptotic distribution of pseudo maximum likelihood estimates for multiple frequency I(1) processes. By multiple frequency I(1) processes we denote processes with unit roots at arbitrary points on the unit circle with the integration orders corresponding to these unit roots all equal to 1. The parameters corresponding to the cointegrating spac...
متن کاملAsymptotic Results for Random Polynomials on the Unit Circle
In this paper we study the asymptotic behavior of the maximum magnitude of a complex random polynomial with i.i.d. uniformly distributed random roots on the unit circle. More specifically, let {nk}k=1 be an infinite sequence of positive integers and let {zk}k=1 be a sequence of i.i.d. uniform distributed random variables on the unit circle. The above pair of sequences determine a sequence of ra...
متن کاملEmploying Symmetry Constraints for Improved Frequency Estimation by Eigenanalysis Methods
The problem of extracting sinusoid signals from noisy observations made at equally spaced times is considered. Eigenanalysis methods, such as Pisarenko’s method and the extended Prony method, find the eigenvector with minimum eigenvalue of a suitably chosen matrix, and then obtain the complex sinusoids as the roots of the polynomial which has the components of the eigenvector as coefficients. F...
متن کاملA comparison of algorithms for maximum likelihood estimation of Spatial GLM models
In spatial generalized linear mixed models, spatial correlation is assumed by adding normal latent variables to the model. In these models because of the non-Gaussian spatial response and the presence of latent variables the likelihood function cannot usually be given in a closed form, thus the maximum likelihood approach is very challenging. The main purpose of this paper is to introduce two n...
متن کاملLevels or Differences in Meat Demand Specification
We estimated a wholesale demand system for beef, pork, lamb, chicken, and turkey using quarterly U.S. data and a dynamic, CBS system (Keller and Van Driel). The CBS system is a differential system, which means that it might be more appropriately applied in those situations where the data have unit roots. If there are unit roots, differencing the data can improve the properties of the estimates....
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- IEEE Trans. Signal Processing
دوره 43 شماره
صفحات -
تاریخ انتشار 1995