An Empirical Bayes Approach to Frequency Estimation

Abstract: In this paper we show that the classical problem of frequency estimation can be formulated and solved efficiently in an empirical Bayesian framework by assigning a uniform a priori probability distribution to the unknown frequency. We discover that the a posteriori covariance matrix of the signal model is the discrete-time counterpart of an operator whose eigenfunctions are the famous prolate spheroidal wave functions, introduced by Slepian and coworkers in the 1960's and widely studied in the signal processing literature although motivated by a different class of problems. The special structure of the covariance matrix is exploited to design an estimator for the hyperparameters of the prior distribution which is essentially linear, based on subspace identification. Bayesian analysis based on the estimated prior then shows that the estimated center-frequency is asymptotically coincident with the MAP estimate. This stochastic approach leads to consistent estimates, provides uncertainty bounds and may advantageously supersede standard parametric estimation methods which are based on iterative optimization algorithms of local nature. Simulations show that the approach is quite promising and seems to compare favorably with some classical methods.