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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
Publication Date: 1997/07/25
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.