THE COMPARISON OF LEAST SQUARES AND THIRD‐ORDER PERIODOGRAM PROCEDURES IN THE ESTIMATION OF BIFREQUENCY

David R. Brillinger

Journal of Time Series Analysis, 1980, vol. 1, issue 2, 95-102

Abstract: Abstract. Given a stretch of time series values, the third‐order periodogram is investigated as a criterion for use in the estimation of bifrequencies, that is of frequency triples (ω1ω2, ω3) with ω3= 2ω ‐ω1ω2. The least squares estimates of such frequencies are compared with estimates derived by maximizing the modulus of the third‐order periodogram. It is found that neither estimation procedure is uniformly better than the other.

Date: 1980
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