Variance of Least Squares Estimators for a Damped Sinusoidal Process

Document Type

Article

Publication Date

1-1-1994

Abstract

In this paper, the variance of least squares estimators for the parameter estimation of a damped sinusoidal process is analyzed, based on first-order perturbation. Analytical expressions for the variances of the frequency, damping factor, amplitude, and phase estimators are derived. Explicit expressions are given for both damped and undamped single-mode cases. The effect of mode separation on the accuracy is investigated through the two-mode case. The dependence of the variances on number of data points, model order, signal-to-noise ratio, and mode separation is investigated, both analytically and numerically, for practical applications. Extensive Monte Carlo simulation results are given to verify, enhance, and illustrate the analytical expressions. © 1994 IEEE

Publication Title

IEEE Transactions on Signal Processing

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