ECKF-SVD Method for Estimating a Single Complex Sinusoid and Its Parameters in White Noise


IEICE TRANSACTIONS on Fundamentals of Electronics, Communications and Computer Sciences   Vol.E80-A   No.7   pp.1308-1317
Publication Date: 1997/07/25
Online ISSN: 
Print ISSN: 0916-8508
Type of Manuscript: PAPER
Category: Digital Signal Processing
Kalman filter,  singular value decomposition,  frequency estimation,  signal estimation,  nonlinear filter,  sinusoid,  

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A new method is proposed for estimating a single complex sinusoid and its parameters (frequency and amplitude) from measurements corrupted by white noise. This method is called the ECKF-SVD method, which is derived by applying an extended complex Kalman filter (ECKF) to a nonlinear stochastic system whose state variables consist of the AR coefficient (a function of frequency) and a sample of the original signal. Proof of the stability is given in the case of a single sinusoid. Simulations demonstrate that the proposed ECKF-SVD method is effective for estimating a single complex sinusoid and its frequency under a low signal-to-noise ratio (SNR). In addition, the amplitude estimation by means of the ECKF-SVD method is also discussed.