Notes on M-Estimation in Exponential Signal Models
Communications in Mathematics and Statistics
An M-estimation of the parameters in an undamped exponential signal model was proposed in Wu and Tam (IEEE Trans Signal Process 49(2):373–380, 2001), and the estimation was shown to be consistent under mild assumptions. In this paper, the limiting distributions of the M-estimators are investigated. It is shown that they are asymptotically normally distributed under similar conditions as assumed in Wu and Tam (IEEE Trans Signal Process 49(2):373–380, 2001). In addition, a recursive algorithm for computing the M-estimators of frequencies is proposed, and the strong consistency of these estimators is established. Monte Carlo simulation studies using Huber’s ρ function are also provided.
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Ding, S., Wu, Y., & Tam, K. W. (2021). Notes on M-Estimation in Exponential Signal Models. Communications in Mathematics and Statistics, 9(2), 139-151.