A new transform for solving the noisy complex exponentials approximation problem

Abstract

The problem of estimating a complex measure made up by a linear combination of Dirac distributions centered on points of the complex plane from a finite number of its complex moments affected by additive i.i.d. Gaussian noise is considered. A random measure is defined whose expectation approximates the unknown measure under suitable conditions. An estimator of the approximating measure is then proposed as well as a new discrete transform of the noisy moments that allows to compute an estimate of the unknown measure. A small simulation study is also performed to experimentally check the goodness of the approximations.