Parameter-Estimation In Non-Gaussian Noise

Constable, CG.  1988.  Parameter-Estimation In Non-Gaussian Noise. Geophysical Journal-Oxford. 94:131-142.

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Least squares (LS) estimation of model parameters is widely used in geophysics. If the data errors are Gaussian and independent the LS estimators will be maximum likelihood (ML) estimators and will be unbiased and of minimum variance. However, if the noise is not Gaussian, e.g. if the data are contaminated by extreme outliers, LS fitting will result in parameter estimates which may be biased or grossly inaccurate. When the probability distribution of the errors is known it is possible, using the maximum likelihood method, to obtain consistent and efficient (minimum variance) estimates of parameters. In some cases the distribution of the noise may be determined empirically, and the resulting distribution used in the ML estimation. A procedure for doing this is described here. Hourly values of geomagnetic observatory data are used to illustrate the technique. These data sets contain a number of periodic components, whose amplitudes and phases are geophysically interesting. Geomagnetic storms and other phenomena in the record make the noise distribution long-tailed, asymmetric and variable with location. Using an iterative procedure, one can model the form of these distributions using smoothing splines. For these data ML estimation yields quite different results from standard robust and LS procedures. The technique has the potential for widespread application to other problems involving the recovery of a known form of signal from non-Gaussian noise.