ON‐LINE FREQUENCY ESTIMATION

E. J. Hannan and D. Huang

Journal of Time Series Analysis, 1993, vol. 14, issue 2, 147-161

Abstract: Abstract. An algorithm is presented for on‐line estimation of the frequency ω from data xj=A cos(jω+φ) +μj where μj is generated by a stationary process. The algorithm requires only about 20 calculations at each time point. Theorems justifying the algorithm as asymptotically efficient are presented. Simulations show the algorithm working well at reasonably low signal‐to‐noise ratios. A feature of the algorithm is that it must not be run for too long without reinitiation with a new initial value. A rule for choosing these reinitiation times is given.

Date: 1993
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https://doi.org/10.1111/j.1467-9892.1993.tb00134.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:14:y:1993:i:2:p:147-161

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