Bayesian parameter estimation of sinusoids with simulated annealing

Authors:
D. Üstündag;M. Cevri
Affiliations:
The Department of Mathematics, The Faculty of Science and Letter, The University of Marmara, Istanbul, Turkey;The Department of Mathematics, The Faculty of Science and Letter, The University of Marmara, Istanbul, Turkey
Venue:
ISCGAV'08 Proceedings of the 8th conference on Signal processing, computational geometry and artificial vision
Year:
2008

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Abstract

In this paper, we consider Bayesian analysis proposed by Bretthorst for estimating parameters from noisy data and combined it with a simulated annealing algorithm to obtain a global maximum of the posterior probability density of frequencies. Thus, this analysis offers different approach to finding parameter values through a directed, but random, search of the parameter space. For this purpose, we developed a Mathematica code of this Bayesian approach and used it for estimating parameters of sinusoids corrupted by random noise. The simulations results support the effectiveness of the method.