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The asymptotic Cramer-Rao lower bound and maximum likelihood estimation of parameters of exponentially damped sinusoid from noisy measurements

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6 Author(s)
Li Zhongwei ; Dept. of Electr. Eng., Edinburgh Univ., UK ; Zeng Qingfu ; Xu Huanen ; P. M. Grant
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The problem of estimating the frequency, damping, phase, and amplitude of exponentially damped sinusoidal signal is considered. An expression of asymptotic Cramer-Rao lower bound (CRLB) for any unbiased estimator of the estimation problem under consideration is derived. A simplified maximum likelihood Gauss Newton algorithm is developed. The analytic and numerical studies show that the algorithm provides asymptotically efficient estimates of the parameters. A numerical example is presented to illustrate the performance of the proposed estimation procedure. A comparison to the Cramer-Rao lower bounded performance is also presented using the simple expression for the asymptotic CRLB covariance matrix derived in the paper

Published in:

Industrial Electronics, 1992., Proceedings of the IEEE International Symposium on

Date of Conference:

25-29 May 1992