Analysis of estimation of signal parameters by linear-prediction at high SNR using matrix approximation

Abstract

A greatly simplified calculation of the accuracy of estimates of the parameters of exponential signals is introduced. The authors assume that the estimates are obtained by first estimating the coefficients of a prediction-error filter (PEF) that arises in signal modeling by linear prediction. A simplified approach based on matrix approximation is used to calculate the statistics of the errors in the estimated signal parameters at high SNR. This approach provides insights for design and tractable formulas even for the case of multicomponent signals and Hankel or Toeplitz data matrices. The analyses are verified by simulation examples that include single- and multiple-component signals consisting of damped or undamped complex exponential signals in noise. >