Analytical Expression for the Posterior Distribution of Signals in Colored Gaussian Noise
Paper in proceedings, 2002

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.

Author

Lennart Svensson

Chalmers, Signals and Systems, Signalbehandling och medicinsk teknik, Signal Processing

Magnus Lundberg

Chalmers, Signals and Systems, Signalbehandling och medicinsk teknik, Signal Processing

Proc. of the 36th Asilomar Conf., Sig., Syst., Comput., Monterey, CA

Subject Categories

Computer and Information Science

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Created

10/8/2017