Autoregressive frequency detection using regularized least squares

DOI10.1016/J.JMVA.2010.02.006MaRDI QIDQ972897zbMATH OpenOpenAlexFDO

Authors Bei Chen, Yulia R. Gel

Publication date 21 May 2010

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2010.02.006

zbMATH Keywords

regularizationautoregressive approximationsinusoidal signalsfrequency detectionrobust trimming algorithm

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(5)

• Penalized Bregman divergence estimation via coordinate descent
• Banded regularization of autocovariance matrices in application to parameter estimation and forecasting of time series
• Autoregression and cepstrum-domain filtering
• AutoSpec: detection of narrowband frequency changes in time series
• Asymptotic statistical analysis of autoregressive frequency estimates

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