Bayesian Estimation of Sinusoidal Signals via Parallel Tempering

Cevri M., ÜSTÜNDAĞ 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, Turkey, 30 May - 01 June 2009, pp.67-72 identifier

  • Publication Type: Conference Paper / Full Text
  • Volume:
  • City: İstanbul
  • Country: Turkey
  • Page Numbers: pp.67-72
  • Istanbul University Affiliated: No

Abstract

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.