Optimal Estimation of Amplitude and Phase Modulated Signals
In this paper, we address the problem of on-line optimal estimation of signals modelled äs the sum. of sinusoids with time-varying amplitudes and phases. This is a complex optimal filtering problem. We present an efficient Sequential Monte Carlo (SMC) method, i.e. particle filtering method, to solve it. It combines several variance reduction methods and Markov chain Monte Carlo (MCMC) steps.