Frequency estimation based on the cumulated Lomb-Scargle periodogram

DOI10.1111/J.1467-9892.2008.00599.XMaRDI QIDQ3552867zbMATH OpenOpenAlexFDO

Authors Céline Lévy-Leduc, Eric Moulines, François Roueff

Publication date 22 April 2010

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0801.0158

zbMATH Keywords

semiparametric estimationirregular samplingperiod estimation

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Inference from stochastic processes and spectral analysis (62M15)

Abstract: We consider the problem of estimating the period of an unknown periodic function observed in additive noise sampled at irregularly spaced time instants in a semiparametric setting. To solve this problem, we propose a novel estimator based on the cumulated Lomb-Scargle periodogram. We prove that this estimator is consistent, asymptotically Gaussian and we provide an explicit expression of the asymptotic variance. Some Monte-Carlo experiments are then presented to support our claims.

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Cites work

• A Best Possible Kolmogoroff-Type Inequality for Martingales and a Characteristic Property
• Application of convolution theorems in semiparametric models with non-i. i. d. data
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• PEAK-INSENSITIVE NON-PARAMETRIC SPECTRUM ESTIMATION
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• Using circulant symmetry to model featureless objects

Cited in

(8)

• Using the periodogram to estimate period in nonparametric regression
• On trend estimation under monotone Gaussian subordination with long-memory: application to fossil pollen series
• Estimating a common period for a set of irregularly sampled functions with applications to periodic variable star data
• Estimation of single-tone signal frequency by using the L-DFT
• Efficient Semiparametric Estimation of the Periods in a Superposition of Periodic Functions with Unknown Shape
• Semiparametric shift estimation based on the cumulated periodogram for non-regular functions
• Quantitative Performance Analysis of Scalogram as Instantaneous Frequency Estimator
• On a three-term variant of the Lomb periodogram

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