Fundamentals of statistical signal processing. Estimation theory / Основы статистической обработки сигналов. Теория оценки

Parameter estimation is a subject that is standard fare in the many books available on statistics. These books range from the highly theoretical expositions written by statisticians to the more practical treatments contributed by the many users of applied statistics. This text is an attempt to strike a balance between these two extremes. The particular audience we have in mind is the community involved in the design and implementation of signal processing algorithms. As such, the primary focus is on obtaining optimal estimation algorithms that may be implemented on a digital computer. The data sets are therefore assumed to be samples of a continuous-time waveform or a sequence of data points. The choice of topics reflects what we believe to be the important approaches to obtaining an optimal estimator and analyzing its performance. As a consequence, some of the deeper theoretical issues have been omitted with references given instead. <...>