Efficient identification of non-Gaussian mixtures

Non-Gaussian mixtures are commonly used as parametric models for impulsive interference superimposed on a Gaussian background. In this study, the problem of efficient batch and recursive estimation of the parameters of such mixtures via minimization of the Kullback-Leibler distance is considered. The maximum-likelihood estimator (MLE) provides the starting point for the development of these estimators. First, it is shown that the MLE yields consistent estimates of the parameters, despite the existence of multiple roots in the Kullback-Leibler distance function. Since direct implementation of the MLE is difficult, an alternative estimator, designed with the objective of maximizing the likelihood function, is proposed. A simulation study of the proposed estimator reveals that it performs very well in terms of attaining the Cramer-Rao lower bound. Stochastic approximation is also considered in this study. A "complete data" modification to the standard recursion is presented, which greatly facilitates its implementation. Three initiating estimators are developed for these recursions: an iterative likelihood-based scheme, a batch estimator that uses a histogram of the data, and an iterative scheme that integrates the concept of complete data into the method-of-moments estimator. Upon initiating the modified stochastic approximation recursion with these estimators, it is seen that excellent estimates of the parameters can be obtained.