Journal article

On the consistency of prony’s method and related algorithms

MH Kahn, MS Mackisack, MR Osborne, GK Smyth

Journal of Computational and Graphical Statistics | Published : 1992


Modifications of Prony’s classical technique for estimating rate constants in exponential fitting problems have many contemporary applications. In this article the consistency of Prony’s method and of related algorithms based on maximum likelihood is discussed as the number of observations n → ∞ by considering the simplest possible models for fitting sums of exponentials to observed data. Two sampling regimes are relevant, corresponding to transient problems and problems of frequency estimation, each of which is associated with rather different kinds of behavior. The general pattern is that the stronger results are obtained for the frequency estimation problem. However, the algorithms consid..

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