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How to estimate autocorrelation of a signal in AWGN

I have a data sequence of a signal in AWGN $$y(n)=\begin{cases}x(n)+w(n)&n=n_0,...,n_{L-1}\\0&\text{otherwise}\end{cases}$$ for $n=0,...,N-1$, where $L\leq{N}$ and $w(n)$ is a white gaussian ...
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Estimating IMU biases without using any external aid

Assuming that Inertial Measurement Unit (IMU) contains accelerometer and gyroscope, I want to estimate the bias in each of the sensors. We know that accelerometer and gyroscope have biases which ...
user146290's user avatar
1 vote
1 answer
73 views

How to specify the cut-off frequence in cascaded biquad filters?

As part of my effort to understand how a high-pass filter can be implemented, I'm reading this section of HandWiki. My question here is: How do the 2 simple formula presented there filter out at a cut-...
DannyNiu's user avatar
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1 vote
3 answers
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How can I estimate the 2 parameters of this signal?

I have a digital signal of fixed length (e.g. 100 samples). Somewhere within this signal is a contiguous region characterized by "low variance". The remainder of the signal is characterized ...
Harry's user avatar
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2 votes
2 answers
146 views

Implementation of biased estimators

In Fundamentals Of Statistical Signal Processing: Estimation Theory page 19, Kay mentions a biased mean square error estimator for $\mu$ where the samples $x\sim\text{N}(\mu, \sigma^2)$. The suggested ...
Gideon Genadi Kogan's user avatar
1 vote
1 answer
97 views

How to find median position of a contour that represents a peak?

I was reading some papers on time-frequency methods of signal analysis and I am confused about one concept. The idea in these works is to plot a power spectrum in time-frequency plane and then to ...
Wave_Rider03's user avatar
2 votes
0 answers
75 views

Optimum Measurement of Sine Wave Amplitude in Noise

There are many related questions posted about estimating sine wave parameters, and this one is closest: Measuring amplitude of a pure sine wave of known frequency close to the noise floor, but none ...
Dan Boschen's user avatar
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3 votes
1 answer
256 views

Kalman Filter Algorithm for Unknown Process and Measurement Noise

I want to be use kalman filter for the state estimation but I don't know about process and measurement noise. How can I estimate process and measurement noise and use this information for kalman ...
guidolard's user avatar
2 votes
2 answers
113 views

Error estimation, parameter estimation

I have some problems with the error estimation of a frequency response measurement. The measured transfer function $H$ has to be fitted to a model $$H=A+i\omega B,$$ where $A$ and $B$ are the unknowns ...
Pete23's user avatar
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5 votes
1 answer
1k views

Kalman Filter on Sensor Fusion

Assume I have 2 sensors capable of measuring distance to an object of known distance. If I apply a Kalman filter to these 2 sensors, I would have 2 correction and prediction equations. If I have 2 ...
6900HS's user avatar
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7 votes
2 answers
681 views

Estimation of the Amplitude of a Sine / Cosine Wave and Its Independence of the SNR / Amplitude of the Wave

Consider a sinusoid in AWGN: $$Y = A \cos(\omega t+\phi)+n $$ Assume the frequency and phase are known. To estimate $A$ we can use least squares (which in this case is equivalent to the DFT): $\hat{A} ...
student1's user avatar
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GPS measured codephase error correction due to acceleration

If GPS L1C/A receiver is experiencing a Doppler shift of $f_D$ and a Doppler rate of $\alpha_D$, assuming total integration duration of $T_{int}$, then how should I calculate the code phase estimate ...
DSP Rookie's user avatar
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7 votes
1 answer
790 views

MUSIC Algorithm for Direction of Arrival (DOA) in Acoustic Signals

I have seen multiple reviews of the MUSIC algorithm for the estimation of DOA. Most of those reviews consider a complex signal input with a complex steering vector. So, how do I implement this ...
Gideon Genadi Kogan's user avatar
7 votes
2 answers
1k views

A Machine Learning Based Algorithm as an Alternative to the Matched Filter

Consider we have to detect a known signal added with Gaussian noise. In this scenario, the matched filter is known to be an optimal filter for SNR. The question: is there any machine learning ...
Creator's user avatar
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3 votes
1 answer
907 views

When is it necessary to use a Kalman Filter, and not a simple estimation method?

I know its a stupid question, but I got understand this very fundemental point. Say we have a sinousodial signal, which we want to extract from a noisy (known variance and mean) measurement. It is ...
doumham's user avatar
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4 votes
1 answer
716 views

How to determine the CRLB for FFT based estimator with MATLAB?

I am trying to determine the CRLB for FFT-based frequency estimation in MATLAB. For this, I am simulating a single sinusoid in white noise with different amplitudes and constant noise power. Here is ...
Sparta's user avatar
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4 votes
3 answers
130 views

Algorithm for finding best matching sin wave to input signal

Question Suppose I take a signal $y(t) = \cos(2\pi \cdot 4.1t + 2)$ and I sample it uniformly up to 2 seconds. Given only these time samples, how would I design an algorithm that finds the pair of ...
GlitchesEtcEtc's user avatar
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1 answer
148 views

converting complex sum of exponential signal to real signal

I have the following Signal model, that generates a discrete-time complex signal, where $a_k$ - amplitudes, $\phi_k$ - phases, $\alpha_k$ - damping factors and $f_k$ - frequencies are the parameters ...
Neuling's user avatar
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13 votes
9 answers
3k views

Estimate Sine Frequency under White Noise — simple and effective method

Given a sinusoidal signal in white noise, how can one efficiently determine its frequency?
RyanRonald's user avatar
1 vote
0 answers
111 views

Fisher Information Matrix for sinusoidal signal under multiplicative noise

Consider observations ($y$) of a sinusoidal wave with multiplicative noise ($v$) where we are estimating unknown frequency ($\omega$) and unknown initial phase ($\theta$). We can write this system ...
Ahwaq's user avatar
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2 answers
3k views

Transfer function estimation from frequency response

Let's assume that we know that we are dealing with a SISO second order system for which we have the frequency response (magnitude and phase for a known frequency range ω). What methods would people ...
gplt's user avatar
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1 vote
2 answers
177 views

A Fast Power Grid Frequency Estimation Approach Using Frequency Shift Filtering

I have read the paper A Fast Power Grid Frequency Estimation Approach Using Frequency Shift Filtering. I want to prove it using a numerical example, I have problem how to calculate the ...
ASiDesigner's user avatar
10 votes
2 answers
244 views

Does the Wiener Filter Achieve the Cramer Rao Lower Bound (CRLB)?

I have been told (Wikipedia agrees) that the Wiener filter is optimal when signal and (additive) noise are WSS. Optimal in the sense that it minimizes the mean-square error. The Cramér–Rao bound is ...
Fabian's user avatar
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28 views

Parameter tracking using Augmented state vector approach and unscented Kalman filter

I'm trying to reproduce and extend figure 9 results in Nonlinear dynamical system identification from uncertain and indirect measurements"HU Voss, J Timmer, J Kurths - International Journal of ...
ccc's user avatar
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1 answer
95 views

ML estimation - solve for x

I'm trying to solve the following maximum likelihood estimation but for multiplicative noise instead of additive noise: So the goal is to do ML-estimation for a scalar constant $x$, which is ...
Phobos's user avatar
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6 votes
2 answers
152 views

Determine the Signal Curve from Parameters of a Power Curve by Noisy Measurement

I have a class of signals described by function: $$ f(inc,d,t)=inc\cdot t^d $$ where inc and d have a finite set of values like 1, 2, 3, i.e. $$ inc, d\in \left \{1,2,3 \right \} $$ and $$ 0\leq t<...
PSz's user avatar
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1 vote
2 answers
207 views

Estimate Parameters of Linear Combination of Harmonic Signals with Partial Known Frequencies

Edit As for window weighted mean, this is known as Birkhoff averaging. In the case of quasiperiodic signals, such averaging is superconvergent. Weighting by $\exp\left(\frac{1}{t^n (t - 1)^n}\right)$ ...
I.M.'s user avatar
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0 answers
60 views

Unable to estimate for AR model using OLS, Yule Walker and MLE

I am learning estimation methods following the book of Steven Kay, "Fundamentals of Statistical Processing, Volume I: Estimation Theory " Theory says that if the measurement noise is ...
Sm1's user avatar
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1 vote
0 answers
51 views

Is my implementation of Generlized Pencil-of-Function correct?

I have a time-series data that should be of the form $$ f(t) = \sum_nA_n(e^{\alpha_n t}+e^{-\alpha_n(T-t)});\;\alpha_n=\eta_n+i\omega_n;\;i=\sqrt{-1} $$ and I want to find parameters $A_n$, $\eta_n$, ...
firest's user avatar
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1 answer
65 views

How can I calculate the height at which the mobile phone is located?

I need to calculate Hm - the height at which the mobile phone is located. For calculating I can use: Hb - the BTS height, m L - the rssi-parameter, dB, f - frequency, MHz. When I use an Okuruma-...
Natal04ka's user avatar
1 vote
1 answer
264 views

Blind Estimation of Signal Parameter and Noise Variance

Let $y[n]= h*x[n] + w[n]$, where $h$ is an unknown but deterministic parameter, $x[n]$ is a BPSK random variable with equal probability of +1 and -1, $w[n]$ are i.i.d. Gaussian with zero mean and ...
Dsp guy sam's user avatar
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11 votes
3 answers
7k views

Understanding the Difference Between MAP Estimation and ML Estimation

There are a number of possible criteria to use in making decisions. Can someone elaborate on the difference between ML and MAP for a sequence of BPSK symbols impaired by Gaussian noise ?
Abby_DSP's user avatar
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4 votes
1 answer
176 views

Damped spring mass system - parameter estimation

I've tried to calculate the parameters of a damped spring mass system of the form $m~ y''(t)+d~y'(t)+c~y(t)=F(t)$ but I have some problems determining the mass m of the system. The damped ...
Phobos's user avatar
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1 vote
2 answers
117 views

Neural networks in system identification - What type of activation functions?

I made a free software for all operative systems, even Android. It's called Deeplearning2C. It can train a neural network and generate C code and MATLAB-code. C-code for embedded systems and MATLAB-...
euraad's user avatar
  • 405
5 votes
1 answer
2k views

How to Linearly Combine Two Unbiased Estimators of One Parameter without Knowledge of Their CoVariance?

I have two unbiased estimators of one parameter, $\tau$. The first estimator, $r_1$, is the better estimator with lower variance than the second estimator, $r_2$. I also have: $ \mathbb{E} \left[ {r}...
Elnaz's user avatar
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4 votes
1 answer
993 views

Estimate Variance of Additive White Gaussian Noise (AWGN) Given Multiple Realizations with Different Mean

Given $ N $ images of the same scene, where each image is corrupted by additive white Gaussian noise of the same variance $ {\sigma}^{2} $. How can $ {\sigma}^{2} $ be estimated? So we have an Image $...
zacmar's user avatar
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4 votes
2 answers
156 views

Dominant Frequency Peak Decreases with Increasing Window Size

I have a signal that looks like this. I analyse it using fast Fourier transforms to identify the frequency with the largest peak, which is always close to zero. (There are no other clear peaks.) If I ...
Dan's user avatar
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1 vote
1 answer
100 views

Why is the concept of a "state covariance matrix" necessary in estimation?

I'm currently taking a course in optimal estimation (and it's still very early in the course). Much of our work is based around the idea of a measurement model $y=Hx + v$ This model assumes our ...
Izzo's user avatar
  • 882
2 votes
2 answers
1k views

Tracking a sine wave with noise

This will probably be an extremely simple question for some one with any background in signal processing(not my background) Let say I have signal $$x(t)=A\sin(\omega t)$$ where A is known and $\omega$...
kangkan Dc's user avatar
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0 answers
28 views

How sensitive is parameter estimation to uncertainty in time?

Suppose I have the following deterministic system that is a function of time: $y = k*t + b$ Now let's say I have the ability to measure this system but there is a zero-mean noise component in the ...
Izzo's user avatar
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1 vote
1 answer
58 views

Does there exist a simple regression method to fit a single sinusoid period to a data set?

I'm currently working on a project where I want to fit a single sinusoid period to a data set. Essentially I have very good control/knowledge of the signal's dominant frequency, so I'm only sampling ...
Izzo's user avatar
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2 votes
0 answers
98 views

Complex Spectral Phase Evolution (CSPE) Performance depending on signal windowing?

I am look into CSPE. "Signal Analysis Using the Complex Spectral Phase Evolution (CSPE) Method" The method is simple. It compares the original signal's FFT and shifted signal FFT in phase domain so ...
Yan Zhu's user avatar
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1 vote
1 answer
517 views

Cramer-Rao Lower Bound

In estimation problems, we may use Cramer-Rao Lower Bound (CRLB) to evaluate the best performance. But if there is no unbiased estimator can attain CRLB, what is the meaning of CRLB? To clarify the ...
Land's user avatar
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0 votes
1 answer
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Demonstrate the mean of the sample variance

Let's suposse I have a vector of elements $x(n) = \{x(0), x(2), \cdots ,x(N-1)\}$ from a random process X of mean $\mu_x$ and variance $\sigma_x^2$. I want to see if I can estimate the mean and ...
Josemi 's user avatar
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6 votes
4 answers
2k views

Sequential Form of the Least Squares Estimator for Linear Least Squares Model

I'm currently working on a project in which I need to find the tilt of a surface. Let's assume I'm only concerned with a single dimension tilt (i.e. slope) to begin. I currently have the ability to ...
Izzo's user avatar
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2 votes
0 answers
213 views

How to calculate the Fourier Transform of a solvable chaos waveform?

Recently I am stucking in frequency estimation of a solvable chaos waveform. Its local analytic expression in time domain is $$ z(t)=s_m(u_m-s_m)e^{\beta(t-mT)}\cos(\omega_0 t+\varphi),mT\leq t<(m+...
Ang Zhou's user avatar
  • 103
4 votes
1 answer
207 views

Sequential Non Linear Least Squares Problem

I have the the following non-linear function, $$s(x;A_k,\mu_k,\sigma_k)=\sum_{k=1}^2 A_k \exp\left(\frac{-(x-\mu_k)^2}{\sigma_k^2}\right)$$ with unknown (but deterministic) parameters $A_k,\mu_k,\...
Seyhmus Güngören's user avatar
1 vote
2 answers
5k views

Least Squares Fitting to Inverse Exponential Function

I have a time series of measurements that resembles the shape of an exponential function. The samples are a bit noisy and sometimes there is a weak sine like ripple signal ontop of it. Simplified the ...
Nils Pipenbrinck's user avatar
1 vote
0 answers
390 views

Parseval's Theorm and Effective Bandwidth

This question says that RMS bandwidth (effective bandwidth) is defined based on the carrier frequency of a signal. This makes intuitive sense to me that the carrier frequency shouldn't determine the ...
EE_13's user avatar
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1 vote
2 answers
1k views

Is it possible to estimate variance of noise for a step answer signal?

I know there is not possible to find the true noise of a measured signal. The only way to "find" the noise is to estimate the noise. Noise has the mean 0, but the variance varies. So assume that we ...
euraad's user avatar
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