Estimation of the Variance of a Random Signal with an Unknown Frequency Bandwidth
We consider the problem of estimating the variance of a Gaussian stationary stochastic signal with a regular spectral density and a priori unknown frequency bandwidth. Two methods for overcoming an a priori uncertainty are proposed, namely, the quasi-likelihood algorithm and the joint maximum-likeli...
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Published in | Radiophysics and quantum electronics Vol. 65; no. 11; pp. 862 - 875 |
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Abstract | We consider the problem of estimating the variance of a Gaussian stationary stochastic signal with a regular spectral density and a priori unknown frequency bandwidth. Two methods for overcoming an a priori uncertainty are proposed, namely, the quasi-likelihood algorithm and the joint maximum-likelihood estimation of all unknown parameters. The structural schemes are developed and the estimation characteristics are found for the synthesized algorithms. The estimation-accuracy loss because of the a priori ignorance of the spectral-density width of a useful signal are determined. |
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AbstractList | We consider the problem of estimating the variance of a Gaussian stationary stochastic signal with a regular spectral density and a priori unknown frequency bandwidth. Two methods for overcoming an a priori uncertainty are proposed, namely, the quasi-like2ihood algorithm and the joint maximum-likelihood estimation of all unknown parameters. The structural schemes are developed and the estimation characteristics are found for the synthesized algorithms. The estimation-accuracy loss because of the a priori ignorance of the spectral-density width of a useful signal are determined. We consider the problem of estimating the variance of a Gaussian stationary stochastic signal with a regular spectral density and a priori unknown frequency bandwidth. Two methods for overcoming an a priori uncertainty are proposed, namely, the quasi-likelihood algorithm and the joint maximum-likelihood estimation of all unknown parameters. The structural schemes are developed and the estimation characteristics are found for the synthesized algorithms. The estimation-accuracy loss because of the a priori ignorance of the spectral-density width of a useful signal are determined. |
Audience | Academic |
Author | Turbin, M. M. Titov, K. D. Korchagin, Yu. E. |
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Cites_doi | 10.1109/IWASI.2017.7974238 10.1134/S1069351319040098 10.1134/S106377102101005X 10.1109/TGRS.2007.893817 10.1109/IMTC.1999.776786 10.1186/s43020-019-0001-5 10.1016/B978-012265655-2/50002-7 10.1134/S1028334X1904007X 10.1007/978-1-4613-8643-8 10.1109/TIM.2019.2896371 |
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SubjectTerms | Algorithms Analysis Astronomy Astrophysics and Astroparticles Density Distribution (Probability theory) Hadrons Heavy Ions Lasers Mathematical and Computational Physics Maximum likelihood estimation Nuclear Physics Observations and Techniques Optical Devices Optics Photonics Physics Physics and Astronomy Quantum Optics Random signals Theoretical Variance |
Title | Estimation of the Variance of a Random Signal with an Unknown Frequency Bandwidth |
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