Maximum likelihood estimation of the parameters of multiple sinusoids from noisy measurements

Abstract

The problem of estimating the frequencies, phases, and amplitudes of sinusoidal signals is considered. A simplified maximum-likelihood Gauss-Newton algorithm which provides asymptotically efficient estimates of these parameters is proposed. Initial estimates for this algorithm are obtained by a variation of the overdetermined Yule-Walker method and periodogram-based procedure. Use of the maximum-likelihood Gauss-Newton algorithm is not, however, limited to this particular initialization method. Some other possibilities to get suitable initial estimates are briefly discussed. An analytical and numerical study of the shape of the likelihood function associated with the sinusoids-in-noise process reveals its multimodal structure and clearly sets the importance of the initialization procedure. Some numerical examples are presented to illustrate the performance of the proposed estimation procedure. Comparison to the performance corresponding to the Cramer-Rao lower bound is also presented, using a simple expression for the asymptotic Cramer-Rao bound covariance matrix derived in the paper.< <ETX xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">&gt;</ETX>