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Matrix pencil method for estimating parameters of exponentially damped/undamped sinusoids in noise


A study of a matrix pencil method for estimating frequencies and damping factors of exponentiallydamped and/or undamped sinusoids in noise is presented. Comparison of this method to a polynomialmethod (SVD-Prony method) shows that the matrix pencil method and the polynomial method are two special cases of a matrix prediction approach and that the pencil method is more efficient in computation and less restrictive about signal probes. It is found through perturbation analysis and simulation that, for signals with unknown damping factors, the pencil method is less sensitive to noisethan the polynomial method. An expression of the Cramer-Rao bound for the exponential signals is presented.<>

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