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Analytical Expression for the Posterior Distribution of Signals in Colored Gaussian Noise

Lennart Svensson (Institutionen för signaler och system, Signalbehandling) ; Magnus Lundberg (Institutionen för signaler och system, Signalbehandling)
Proc. of the 36th Asilomar Conf., Sig., Syst., Comput., Monterey, CA (2002)
[Konferensbidrag, refereegranskat]

The paper describes a Bayesian approach to estimate the amplitude, s, of a given signal embedded in complex zero mean Gaussian noise with unknown covariance. By employing Jefieys priors to unknown parameters, the posterior distribution is derived analytically. While the resulting estimates, B, are merely reproductions of classical estimates, the Bayesian approach offers an enhanced ability to predict the quality of estimates conditioned on the measured data. This ability is further highlighted by simulations using finite training sets.

Denna post skapades 2006-08-25. Senast ändrad 2010-05-12.
CPL Pubid: 15091


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