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Regularized Autoregressive Multiple Frequency Estimation
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نویسنده
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Bei Chen ,Yulia R. Gel
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منبع
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journal of the iranian statistical society - 2011 - دوره : 10 - شماره : 2 - صفحه:141 -166
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چکیده
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The paper addresses a problem of tracking multiple number of frequencies using regularized autoregressive (rar) approximation. the rar procedure allows to decrease approximation bias, comparing to other ar-based frequency detection methods, while still providing competitive variance of sample estimates. we show that the rar estimates of multiple periodicities are consistent in probability and illustrate dynamics of rar in respect to sample size and signal-to-noise ration by simulations
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کلیدواژه
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Autoregressive approximation ,frequency tracking ,least squares method ,periodic time series ,regularization
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آدرس
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University of Waterloo, Department of Statistics and Actuarial Science, Canada, University of Waterloo, Department of Statistics and Actuarial Science, Canada
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پست الکترونیکی
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ygl@math.uwaterloo.ca
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Authors
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