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Asymptotic behavior of maximum likelihood estimates of superimposed exponential signals

机译:叠加指数信号的最大似然估计的渐近行为

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Strong consistency and asymptotic normality are derived for the maximum-likelihood estimates (MLEs) of the unknown parameters ( omega /sub 1/,. . ., omega /sub p/), ( alpha /sub 1/,. . ., alpha /sub p/), and sigma /sup 2/ in the superimposed exponential model for signals, Y/sub t/= Sigma alpha exp (it omega /sub k/)+e/sub t/, where the summation is from k=1 to p, t=0, 1, . . ., n-1, and sigma /sup 2/ is the variance of the complex normal distribution of e/sub t/. As a by-product, it is found that the MLEs of the parameters attain the Cramer-Rao lower bound for the asymptotic covariance matrix.
机译:对于未知参数(omega / sub 1 /,..,omega / sub p /),(alpha / sub 1 /,..,alpha)的最大似然估计(MLE)得出强一致性和渐近正态性/ sub p /)和信号的叠加指数模型中的sigma / sup 2 /,Y / sub t / = Sigma alpha exp(欧米茄/ sub k /)+ e / sub t /,其中求和来自k = 1至p,t = 0,1,,。 。 ,n-1和sigma / sup 2 /是e / sub t /的复正态分布的方差。作为副产品,发现参数的MLE达到渐近协方差矩阵的Cramer-Rao下界。

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