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Newton-Rapshon method over a multiplicative or modulated noise process

Started by booboojerkers April 29, 2008
I am trying to implement a newton-raphson iteration to estimate sinusoidal
frequency mixed with noise.  Here's the problem statement:

A white Gaussian noise process w(n) with variance sigma^2 = 1 is   

modulated by a sinusoid cos(2pif0n)*w(n) to yield the data set 

         x(n) = cos(2pif0n)*w(n),          n = 0, 1, ... , N-1, 

 where N = 1000.  The frequency f0 of the sinusoid is known to be in 

 the range 0 < f0< &frac14;.


Here's how the problem is seen, please correct me if I'm wrong:
 
The best  way it seems to solve this problem is to write down the pdf, ie,
likelihood function, and then search it over the interval 0<fo<1/4.
(this will be done in matlab). 

In this problem there is actually no signal but a noise process that is
modulated.  The nth sample is Gaussian with mean zero and variance sigma^2
= 1, which is time varying.  

All the noise samples are independent.  

The way to solve is to just  write down the pdf and maximize over f_0.  A
maximum should be seen at the correct f_0.

My problem is when initially writing down the PDF.  

With additive noise, I have typically done this as  w(n) = x(n) - cos(*),
here though (for multiplicative noise) if solving for w(n) we have w(n) =
x(n)/cos(*)????

With additive noise the pdf =>
p(x;f)=[(2*pi*sigma^2)^-N/2]*exp[(-1/2sigma^2)*Esum(x(n)-cos2pifn)^2] -->as
Gaussian form 

But my question is, how do I write out the pdf with multiplicate (rather
than additive) noise???
 

This is where I am stuck.




Update:  after giving it some more thought, this pdf is a standard normal
distribution:  pdf = exp[-x^2/2]/sqrt(2pi)

Now the concern is:  do I just put the modulated cosine value into the pdf
as the x value in order to proceed with setting up the algorithm?

As so:  pdf = exp[-(cos(2pi*fo*n)*w(n))^2/2]/sqrt(2pi)

??????

Any feedback on this is appreciated

>I am trying to implement a newton-raphson iteration to estimate
sinusoidal
>frequency mixed with noise. Here's the problem statement: > >A white Gaussian noise process w(n) with variance sigma^2 = 1 is > >modulated by a sinusoid cos(2pif0n)*w(n) to yield the data set > > x(n) = cos(2pif0n)*w(n), n = 0, 1, ... , N-1, > > where N = 1000. The frequency f0 of the sinusoid is known to be in > > the range 0 < f0< &frac14;. > > >Here's how the problem is seen, please correct me if I'm wrong: > >The best way it seems to solve this problem is to write down the pdf,
ie,
>likelihood function, and then search it over the interval 0<fo<1/4. >(this will be done in matlab). > >In this problem there is actually no signal but a noise process that is >modulated. The nth sample is Gaussian with mean zero and variance
sigma^2
>= 1, which is time varying. > >All the noise samples are independent. > >The way to solve is to just write down the pdf and maximize over f_0.
A
>maximum should be seen at the correct f_0. > >My problem is when initially writing down the PDF. > >With additive noise, I have typically done this as w(n) = x(n) -
cos(*),
>here though (for multiplicative noise) if solving for w(n) we have w(n)
=
>x(n)/cos(*)???? > >With additive noise the pdf => >p(x;f)=[(2*pi*sigma^2)^-N/2]*exp[(-1/2sigma^2)*Esum(x(n)-cos2pifn)^2]
-->as
>Gaussian form > >But my question is, how do I write out the pdf with multiplicate (rather >than additive) noise??? > > >This is where I am stuck. > > > > >