Instantaneous frequency estimation using stochastic calculus and bootstrapping (Q2478633)

Summary: Stochastic calculus methods are used to estimate the instantaneous frequency of a signal. The frequency is modeled as a polynomial in time. It is assumed that the phase has a Brownian-motion component. Using stochastic calculus, one is able to develop a stochastic differential equation that relates the observations to instantaneous frequency. Pseudo-maximum likelihood estimates are obtained through Girsanov theory and the Radon-Nikodym derivative. Bootstrapping is used to find the bias and the confidence interval of the estimates of the instantaneous frequency. An approximate expression for the Cramér-Rao lower bound is derived. An example is given, and a comparison to existing methods is provided.