Optimal estimation of non-stationary phase and amplitude processes
Christophe Andrieu · 2002
In this paper, we address the problem of on-line optimal estimation of signals modelled as the sum of sinusoids with time-varying amplitudes and phases. This is a complex optimal filtering problem. We present some efficient and original simulation-based methods to solve it. The posterior Cramer-Rao lower bound for this state estimation problem is also derived.