Performance analysis of parameter estimation of superimposed signals by dynamic programming

The problem of fitting a model composed of a number of superimposed signals to noisy data using the maximum likelihood (ML) criterion is considered. A dynamic programming (DP) algorithm which solves the problem efficiently is presented. An asymptotic property of the estimates is derived, and a bound on the bias of the estimates is given. The bound is then computed using perturbation analysis and compared with computer simulation results. The results show that the DP algorithm is a versatile and efficient algorithm for parameter estimation. In practical applications, the estimates can be refined by a local search (e.g., the Gauss-Newton method) of the exact ML criterion, initialized by the DP estimates.<>