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Kay S.M. Ч Fundamentals of statistical signal processing: estimation theory
Kay S.M. Ч Fundamentals of statistical signal processing: estimation theory

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Ќазвание: Fundamentals of statistical signal processing: estimation theory

јвтор: Kay S.M.

язык: en

–убрика: ћатематика/

—татус предметного указател€: √отов указатель с номерами страниц

ed2k: ed2k stats

√од издани€: 1993

 оличество страниц: 604

ƒобавлена в каталог: 11.11.2012

ќперации: ѕоложить на полку | —копировать ссылку дл€ форума | —копировать ID
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ѕредметный указатель
ACF      see "Autocorrelation"
Adaptive beamforming      544Ч548
Adaptive filters, Kalman      439 see sequential"
Adaptive filters, noise canceler      268Ч273 see sequential"
Analytic signal      497 551
ar      see "Autoregressive"
ARMA      see "Autoregressive moving average"
Asymptotic Cramer Ч Rao lower bound      51 77Ч81
Asymptotic efficiency      38Ч39 160 164
Asymptotic Gaussian PDF, complex      535
Asymptotic Gaussian PDF, real      80
Asymptotic mean and variance      295 301Ч302 305Ч306
Asymptotic MLE      190
Asymptotic probability density function of MLE      164
Asymptotic unbiasedness      38 160
Autocorrelation method of linear prediction      198
Autocorrelation, definition      575
Autocorrelation, estimator      197 204 267
Autoregressive moving average, definition      266
Autoregressive moving average, dynamic model      468
Autoregressive moving average, estimation      266Ч268
Autoregressive, CRLB      59Ч62 see
Autoregressive, definition      59Ч60 578 see
Autoregressive, MLE      196Ч198 see
Autoregressive, power spectral density, complex process      497Ч498 see
Autoregressive, prediction      414 see
Beamforming, conventional      547
Bearing estimation      3 57Ч59 195Ч196
Bernoulli trial      123 200
Best linear unbiased estimator, complex data      523Ч524
Best linear unbiased estimator, covariance errors      150
Best linear unbiased estimator, definition      134 137 139Ч140
Best linear unbiased estimator, derivation      151Ч155
Best linear unbiased estimator, linear model      141
Best linear unbiased estimator, transformations      135 147 149Ч150
Bias error      18
Biomedical signal processing      23
blue      see "Best linear unbiased estimator"
CCF      see "Cross-correlation"
Chirp rate estimator      553
Communications, channel equalization      365
Communications, coherent demodulation      273
Communications, on-off keying      148
Complete sufficient statistic      109Ч112 119
Complex envelope      494
Conditional mean estimator      see "Minimum mean square error estimator" "Bayesian"
Consistency, estimator      24 161 200
Correlation coefficient, conditional Gaussian PDF      323
Correlation coefficient, CRLB      66
Correlation coefficient, definition      64
Correlation coefficient, least squares      241
Correlation coefficient, MLE      200 304
Correlation time      50 77Ч78 535
Correlator, signal      192
Cost function      342
Covariance matrix, complex, definition      501
Covariance matrix, complex, properties      505Ч506 555Ч557
Cramer Ч Rao lower bound, asymptotic      51 77Ч81
Cramer Ч Rao lower bound, complex Gaussian      525
Cramer Ч Rao lower bound, definition      22 30 39Ч40 44
Cramer Ч Rao lower bound, Gaussian PDF      47Ч48
Cramer Ч Rao lower bound, signals in WGN      36 48
Cramer Ч Rao lower bound, transformed parameters      37 45
CRLB      see "Cramer Ч Rao lower bound"
Cross-correlation      514 575
Cross-power spectral density      576Ч577
Curve fitting, CRLB      65
Curve fitting, least squares      232Ч235
Curve fitting, linear model      86Ч88
CWGN      see "White Gaussian noise complex"
Cyclical data      see "Sinusoidal estimation"
DC level in noise      see "Examples"
DC level in noise, definition      31
Deconvolution      365Ч370
Derivative, complex      499Ч500 517 519Ч521
Detection, jump in level      278
Detection, sinusoidal      98Ч99 148Ч149 554
DFT      see "Discrete Fourier transform"
Digital filter design, equation error      261Ч265
Digital filter design, least squares      280Ч281
Discrete Fourier transform, normalization of      511
Discrete Fourier transform, orthogonality      89 569Ч570
Discrete Fourier transform, PDF for WGN      509Ч511 537
Dispersive channel      452
Efficiency, estimator      34 38Ч39 84Ч86 160 167 187 528
Eigenanalysis of covariance matrix      147Ч148 537
Eigenvalue/eigenvector      573
em      see "Expectation-maximization"
entropy      336
Equation error modeling      266
Error ellipse      364
Estimators, classical vs. Bayesian      8 309 312
Estimators, combining      17
Estimators, definition      9
Estimators, performance      9Ч12 24 295 see mean
Estimators, selection, rationale for      489Ч490
Estimators, summary, Bayesian      484Ч485
Estimators, summary, classical      480Ч483
Examples, adaptive beamformer      544Ч548
Examples, adaptive noise canceler      268Ч273
Examples, autoregressive parameters in ARMA, LSE      266Ч268
Examples, autoregressive parameters, CRLB      59Ч62
Examples, autoregressive parameters, MLE      196Ч198
Examples, bandpass Gaussian noise      515Ч517
Examples, bearing, CRLB      57Ч59
Examples, bearing, MLE      195Ч196
Examples, channel estimation      452Ч456
Examples, covariance matrix scale factor, Bayesian estimation      329Ч330
Examples, curve fitting, MVU estimator      86Ч88
Examples, DC level and exponential in WGN, MVU estimator      96Ч97
Examples, DC level in colored noise, complex BLUE      523Ч524
Examples, DC level in colored noise, MVU estimator      95Ч96
Examples, DC level in noise, LSE      221
Examples, DC level in non-Gaussian noise      172Ч173
Examples, DC level in uncorrelated noise, BLUE      138Ч139
Examples, DC level in WGN, amplitude and variance sufficient statistics      118
Examples, DC level in WGN, amplitude and variance, MAP estimator      355Ч358
Examples, DC level in WGN, amplitude/variance, MLE      158Ч163
Examples, DC level in WGN, biased estimator      17
Examples, DC level in WGN, CRLB for amplitude      31Ч32
Examples, DC level in WGN, CRLB for amplitude and variance      40Ч41
Examples, DC level in WGN, CRLB for random amplitude variance      49Ч50
Examples, DC level in WGN, Gaussian prior, MMSE estimator      317Ч321 326Ч328 360Ч361
Examples, DC level in WGN, method of moments      291Ч292
Examples, DC level in WGN, MLE for amplitude      163Ч164
Examples, DC level in WGN, MLE for amplitude and variance      183
Examples, DC level in WGN, MLE Monte Carlo performance      164Ч166
Examples, DC level in WGN, MVU amplitude and variance estimator from sufficient statistic      119Ч122
Examples, DC level in WGN, MVU amplitude estimator from sufficient statistic      107Ч109
Examples, DC level in WGN, sequential LMMSE estimator      392Ч393
Examples, DC level in WGN, sequential LSE      243Ч248
Examples, DC level in WGN, sufficient statistic      105
Examples, DC level in WGN, transformed parameter MLE      173Ч177
Examples, DC level in WGN, unbiased estimator      16
Examples, DC level in WGN, uniform prior, LMMSE estimator      383
Examples, DC level in WGN, uniform prior, MAP estimator      352Ч353
Examples, DC level in WGN, uniform prior, MMSE estimator      315
Examples, DC level in white noise, BLUE      137Ч138
Examples, digital filter design, LSE      261Ч265
Examples, discrete Fourier transform, PDF of CWGN      535Ч537
Examples, discrete Fourier transform, PDF of WGN      509Ч511
Examples, exponential PDF parameter transformation, MAP estimator      358Ч359
Examples, exponential PDF parameter, MAP estimator      351Ч352
Examples, exponential PDF parameter, method of moments      292 295Ч297
Examples, exponential signal in WGN, MLE      178Ч182
Examples, exponential signal in white noise, ad-hoc estimator      298Ч299
Examples, exponential signal, LSE      257Ч258
Examples, Fourier analysis, Bayesian      347Ч349 362Ч364 399Ч400
Examples, Fourier analysis, LSE      226Ч227 230Ч231
Examples, Fourier analysis, MVU estimator      88Ч90
Examples, Fourier analysis, sequential LSE      250Ч251
Examples, frequencies of sinusoids, EM estimator      187Ч189
Examples, frequency of sinusoid, CRLB      36
Examples, frequency of sinusoid, method of moments      299Ч304
Examples, frequency of WSS process, center, CRLB      51Ч53
Examples, Gauss Ч Markov model      427Ч428
Examples, Gaussian mixture parameters      290Ч291 293Ч294
Examples, Hermitian form, mean and variance      512Ч513
Examples, Hermitian function, minimization      521Ч523
Examples, identification of FIR system, MVU estimator      90Ч94
Examples, Kalman filter      436Ч438 443Ч445
Examples, line fitting, CRLB      41Ч43
Examples, line fitting, order-recursive LSE      237Ч240
Examples, linear model, classical complex      529Ч530
Examples, localization, source, BLUE      142Ч146
Examples, mean of uniform noise, MVU estimator      113Ч116
Examples, moving average, MLE      190Ч191
Examples, MVU estimator, possible nonexistence of      20Ч21
Examples, orthogonal random variables, LMMSE estimator      388Ч389
Examples, PDF parameter dependence      28Ч31
Examples, periodogram spectral estimation      538Ч539
Examples, phase of complex sinusoid, MLE      531Ч532
Examples, phase of sinusoid, CRLB      33Ч34
Examples, phase of sinusoid, MLE      167Ч172
Examples, phase of sinusoid, sufficient statistic      106Ч107
Examples, phase-locked loop      273Ч275
Examples, power of noise, CRLB      49
Examples, power of noise, sufficient statistic      105
Examples, range, CRLB      53Ч56
Examples, range, MLE      192
Examples, signal amplitude estimation, complex LSE      498Ч500
Examples, signal in non-Gaussian noise, MLE      184Ч185
Examples, signal in WGN, CRLB      48
Examples, signal, constrained LSE      252Ч254
Examples, signal-to-noise ratio, CRLB      46
Examples, sinusoidal amplitude, LSE      255Ч256
Examples, sinusoidal complex amplitude, MMSE estimator      534Ч535
Examples, sinusoidal modeling, complex      496Ч497
Examples, sinusoidal parameters, complex MLE      539Ч544
Examples, sinusoidal parameters, CRLB      56Ч57
Examples, sinusoidal parameters, LSE      222Ч223
Examples, sinusoidal parameters, MLE      193Ч195
Examples, sinusoidal parameters, sufficient statistics      117Ч118
Examples, sinusoidal power, complex MVU estimator      525Ч527
Examples, sufficient statistic verification      103Ч104
Examples, sufficient statistic, completeness of      110Ч111
Examples, sufficient statistic, incompleteness of      111Ч112
Examples, vehicle tracking      456Ч466
Examples, Wiener filtering      365Ч370 400Ч409 443Ч445
Expectation-Maximization      182 187Ч189
Exponential PDF family, definition      see "Probability density functions"
Exponential PDF family, MLE      200
Exponential signals, estimation      257Ч258 298Ч299
Fading signal      100 452
Finite impulse response filter      90Ч94
FIR      see "Finite impulse response filter"
Fisher information, decoupled matrix      41 65
Fisher information, definition      34 40
Fisher information, properties      35 65
Fourier analysis      88Ч90 226Ч227 250Ч251 347Ч349 362Ч364 399Ч400
Frequency estimation      see "Sinusoidal estimation and Examples"
Gauss Ч Markov process, definition      421 426 430Ч431
Gauss Ч Markov process, properties      424 429
Gauss Ч Markov theorem      141 143 552
Gauss Ч Newton iteration      260
Gaussian random process      467 513 577Ч578
Gradient formulas      73Ч74 84 519Ч521
Gram Ч Schmidt orthogonalization      236 396 411
Grid search      177
Hermitian form, definition      502
Hermitian form, minimization      521Ч523
Hermitian form, moments      502Ч503 513
histogram      10 165 206Ч207 209
Image signal processing      365
In-phase signal      495Ч496
Innovations      396 433 441
interference suppression      270
Interpolation      412
Kalman filter, definition      436 446Ч449 455
Kalman filter, derivation      471Ч475
Kalman filter, extended      451Ч452 462 476Ч477
Kalman filter, gain      436 447
Kalman filter, information form      449
Kalman filter, steady state      443
Least squares, BLUE, relationship with      225
Least squares, constrained      252
Least squares, definition      220Ч221
Least squares, estimator      225
Least squares, modified Yule Ч Walker equations      268
Least squares, nonlinear      222 254
Least squares, numerical determination      259Ч260
Least squares, order-recursive      237 282Ч284
Least squares, separable      222Ч223 256Ч257
Least squares, sequential      249 279 286Ч288
Least squares, weighted      150 225Ч226 244Ч248 270
Levinson recursion      198 403
Likelihood function, definition      29
Likelihood function, modified      175 185
Line arrays      58 145
Line fitting      41 83Ч84 237Ч240 373
Linear minimum mean square error estimator, definition      380Ч382 389
Linear minimum mean square error estimator, properties      390
Linear minimum mean square error estimator, sequential      393 398 415Ч418
Linear minimum mean square error estimator, vector space interpretation      386
Linear model (Bayesian), definition      325
Linear model (Bayesian), Kalman filter modeling      447
Linear model (Bayesian), MMSE estimator      364Ч365 533Ч534
Linear model (Bayesian), properties      487Ч489
Linear model (classical), CRLB      85
Linear model (classical), definition      84 94Ч95 97 529Ч530
Linear model (classical), efficiency      85Ч86
Linear model (classical), estimator and properties      85 486Ч488
Linear model (classical), line fitting      45
Linear model (classical), MLE      186
Linear model (classical), reduced      99 254
Linear model (classical), sufficient statistics      126
Linear Predictive Coding      5 59 198 407
Linear random process      77
LMMSE      see "Linear minimum mean square error estimator"
Localization, source      142Ч146 456Ч466
LPC      see "Linear predictive coding"
LS, LSE      see "Least squares"
Lyapunov equation      430
MA      see "Moving average"
MAP      see "Maximum a posteriori estimator"
Matrix, autocorrelation      62 93
Matrix, determinant      567
Matrix, diagonal      568Ч569
Matrix, eigenanalysis      573
Matrix, hermitian      501
Matrix, idem potent      194 570
Matrix, ill-conditioned      85 98 240Ч241
Matrix, inversion, definition      567
Matrix, inversion, lemma      571
Matrix, inversion, Woodbury's identity      571
Matrix, orthogonal      569
Matrix, partitioned      571Ч572
Matrix, positive definite (semidefinite)      568 572
Matrix, projection      231 242 277 285
Matrix, square      567
Matrix, symmetric      567
Matrix, Toeplitz      62 93 570
Matrix, trace      568
Matrix, transpose      567
Maximum a posteriori estimator, definition      344 351 354 372
Maximum a posteriori estimator, properties      358 372
Maximum likelihood estimator, asymptotic      190
Maximum likelihood estimator, Bayesian      352
Maximum likelihood estimator, complex data      530Ч531 563Ч565
Maximum likelihood estimator, definition      162 182
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