An efficient algorithm for estimating the parameters of superimposed exponential signals

Z. D. Bai, C. R. Rao, Mosuk Chow, D. Kundu

Research output: Contribution to journalArticle

Abstract

An efficient computational algorithm is proposed for estimating the parameters of undamped exponential signals, when the parameters are complex valued. Such data arise in several areas of applications including telecommunications, radio location of objects, seismic signal processing and computer assisted medical diagnostics. It is observed that the proposed estimators are consistent and the dispersion matrix of these estimators is asymptotically the same as that of the least squares estimators. Moreover, the asymptotic variances of the proposed estimators attain the Cramer-Rao lower bounds, when the errors are Gaussian.

Original languageEnglish (US)
Pages (from-to)23-34
Number of pages12
JournalJournal of Financial Economics
Volume66
Issue number2-3
DOIs
StatePublished - Jan 1 2002

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics
  • Strategy and Management

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