Prony's Method

There are several variations on equation-error minimization, and some confusion in terminology exists. We use the definition of Prony's method given by Markel and Gray [48]. It is equivalent to ``Shank's method'' [9]. In this method, one first computes the denominator by minimizing

This step is equivalent to minimization of ratio error (as used in linear prediction) for the all-pole part , with the first terms of the time-domain error sum discarded (to get past the influence of the zeros on the impulse response). When , it coincides with the covariance method of linear prediction [48,47]. This idea for finding the poles by ``skipping'' the influence of the zeros on the impulse-response shows up in the stochastic case under the name of modified Yule-Walker equations [11].

Now, Prony's method consists of next minimizing output error with the pre-assigned poles given by . In other words, the numerator is found by minimizing

where is now known. This hybrid method is not as sensitive to the time distribution of as is the pure equation-error method. In particular, the degenerate equation-error example above (in which was obtained) does not fare so badly using Prony's method.

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written by Julius Orion Smith III
Julius Smith's background is in electrical engineering (BS Rice 1975, PhD Stanford 1983). He is presently Professor of Music and Associate Professor (by courtesy) of Electrical Engineering at Stanford's Center for Computer Research in Music and Acoustics (CCRMA), teaching courses and pursuing research related to signal processing applied to music and audio systems. See http://ccrma.stanford.edu/~jos/ for details.