Statistical analysis of SVD-based Prony techniques
William M. Steedly, C.-H.J. Ying, Randolph L. Moses · 2002
The authors present an analysis of parameter variance statistics for the SVD-Prony method applied to damped exponential signals. The covariance matrix of the estimated parameters for this method is derived. The parameters include the magnitudes and angles of the poles, and the magnitudes and angles of the amplitude coefficients. The theoretical results are verified using Monte Carlo simulation studies. The variance results are compared to the corresponding Cramer-Rao bounds for several cases.>