Autoregressive frequency detection using regularized least squares

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)

Cites Work

Covariance regularization by thresholding
A well-conditioned estimator for large-dimensional covariance matrices
Regularized estimation of large covariance matrices
On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences
Title not available (Why is that?)
Title not available (Why is that?)
Non-linear time series regression
The estimation and tracking of frequency
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Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
On the estimation of a harmonic component in a time series with stationary independent residuals
Concepts de dépendance et ordres stochastiques pour des lois bidimensionnelles
Accurate frequency estimation at low signal-to-noise ratio
SOME PROPERTIES OF AUTOREGRESSIVE ESTIMATES FOR PROCESSES WITH MIXED SPECTRA
Asymptotic properties of the high-order Yule-Walker estimates of sinusoidal frequencies
Strong consistency of the regularized least-squares estimates of infinite autoregressive models
Identification of an unstable ARMA equation
Asymptotic bias of the high-order autoregressive estimates of sinusoidal frequencies
Asymptotic normality of sample autocovariances with an application in frequency estimation
Hidden frequency estimation with data tapers
On Kay's frequency estimator
Statistical analysis of Pisarenko's method for sinusoidal frequency estimation
Autoregressive frequency estimation
AN ALTERNATIVE CONSISTENT PROCEDURE FOR DETECTING HIDDEN FREQUENCIES
Tracking abrupt frequency changes
Asymptotic behavior of maximum likelihood estimates of superimposed exponential signals
Asymptotic statistical properties of AR spectral estimators for processes with mixed spectra
ON-LINE FREQUENCY ESTIMATION
ON LOW AND HIGH FREQUENCY ESTIMATION
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Cited In (4)

Autoregression and cepstrum-domain filtering
Asymptotic statistical analysis of autoregressive frequency estimates
AutoSpec: detection of narrowband frequency changes in time series
Banded Regularization of Autocovariance Matrices in Application to Parameter Estimation and Forecasting of Time Series

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