Dependence of accuracy of ESPRIT estimates on signal eigenvalues: the case of a noisy sum of two real exponentials.
This paper is devoted to estimation of parameters for a noisy sum of two real exponential functions. Singular Spectrum Analysis is used to extract the signal subspace and then the ESPRIT method exploiting signal subspace features is applied to obtain estimates of the desired exponential rates. Dependence of estimation quality on signal eigenvalues is investigated. The special design to test this relation is elaborated.
Alexandrov
Theodore
T
Center for Industrial Mathematics, University of Bremen, D-28334 Bremen, Germany.
Golyandina
Nina
N
Timofeyev
Alexey
A