Matrix pencil method for estimating parameters of exponentially damped/undamped sinusoids in noise

A study of a matrix pencil method for estimating frequencies and damping factors of exponentially damped and/or undamped sinusoids in noise is presented. Comparison of this method to a polynomial method (SVD-Prony method) shows that the matrix pencil method and the polynomial method are two special cases of a matrix prediction approach and that the pencil method is more efficient in computation and less restrictive about signal probes. It is found through perturbation analysis and simulation that, for signals with unknown damping factors, the pencil method is less sensitive to noise than the polynomial method. An expression of the Cramer-Rao bound for the exponential signals is presented.< >