Bayesian Estimation of Sinusoidal Signals via Parallel Tempering


Cevri M., Ustundag D.

8th WSEAS Int Conference on Signal Processing/3rd WSEAS Int Symposium on Wavelets Theory and Applicat in Appl Math, Signal Proc and Modern Sci, İstanbul, Türkiye, 30 Mayıs - 01 Haziran 2009, ss.67-72 identifier

  • Yayın Türü: Bildiri / Tam Metin Bildiri
  • Basıldığı Şehir: İstanbul
  • Basıldığı Ülke: Türkiye
  • Sayfa Sayıları: ss.67-72

Özet

This paper deals with a parameter estimation problem within a Bayesian framework. Performing Bayesian inference about the parameters is a challenging computational problem and requires an evaluation of complicated high-dimensional integrals. In this context, we make an attempt to improve an efficient stochastic procedure, proposed by Gregory, which is based on a parallel tempering Markov Chain Monte Carlo method (MCMC). We code its algorithm in Mathematica and then test it for estimating parameters of sinusoids corrupted by a random noise. Computer simulations support its effectiveness.