Weighted least-squares implementation of Cohen-Posch time-frequency distributions with specified conditional and joint moment constraints

摘要

A positivity constrained iterative weighted least-squares (WLS) method for constructing non-negative joint time-frequency distributions (i.e., Cohen-Posch (1985) TFDs) satisfying marginal, joint moment, conditional moment, and generalized marginal constraints, is developed. The new algorithm solves the "leakage" problem of the least-squares approach and is computationally faster. It is also more computationally efficient than the MCE implementation of these constraints developed by Loughlin, Pitton, and Atlas (1994).