Kernel high-order approximation of time-varying parameters of harmonics

MaRDI QIDQ1298201zbMATH OpenFDO

Authors Vladimir Katkovnic

Publication date 15 September 1999

Published in Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

kernel estimationsemiparametric regressionsliced inverse regressionsmall samples

Mathematics Subject Classification ID

Density estimation (62G07) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Review text

This paper presents a nonparametric method for estimating the time-varying frequency, amplitude and phase of the model \(y(t)=A(t)\sin(\omega(t)t+\varphi(t))=e(t)\), \(t=\dots,-2,-1,0,1,2,\dots\), where \(e(t)\) are i.i.d. r.v. The local polynomial approximation approach with high-order nonparametric kernels is used to design estimation logarithms. The details are demonstrated for the linear in time frequency and amplitude. For instance, the covariance matrix of the estimates is obtained in the cases of symmetric and nonsymmetric rectangular windows, the asymptotic normality is proved, and the convergence orders are established. For arbitrary time-varying \(\omega(t)\) and \(A(t)\) the asymptotic bias is studied as well as the optimal window size. Various simulation results are presented.

Recommendations

• Nonparametric local polynomial approximation of the time-varying frequency and amplitude
• Nonparametric estimation of the time-varying frequency and amplitude
• Nonparametric estimation of instantaneous frequency
• scientific article; zbMATH DE number 1029185

Cited in

(4)

• Estimation of time varying peak of power spectrum based on non-Gaussian nonlinear state space modeling
• Nonparametric estimation of the time-varying frequency and amplitude
• Time series estimation by tracking parameter variation
• scientific article; zbMATH DE number 1556149 (Why is no real title available?)

This page was built for publication: Kernel high-order approximation of time-varying parameters of harmonics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1298201)