Autoregressive frequency detection using Regularized Least Squares

Bei Chen and Yulia R. Gel

Journal of Multivariate Analysis, 2010, vol. 101, issue 7, 1712-1727

Abstract: Tracking of an unknown frequency embedded in noise is widely applied in a variety of applications. Unknown frequencies can be obtained by approximating generalized spectral density of a periodic process by an autoregressive (AR) model. The advantage is that an AR model has a simple structure and its parameters can be easily estimated iteratively, which is crucial for online (real-time) applications. Typically, the order of the AR approximation is chosen by information criteria. However, with an increase of a sample size, model order may change, which leads to re-estimation of all model parameters. We propose a new iterative procedure for frequency detection based on a regularization of an empirical information matrix. The suggested method enables to avoid the repeated model selection as well as parameter estimation steps and therefore optimize computational costs. The asymptotic properties of the proposed regularized AR (RAR) frequency estimates are derived and performance of RAR is evaluated by numerical examples.

Keywords: Regularization; Autoregressive; approximation; Frequency; detection; Robust; trimming; algorithm; Sinusoidal; signals (search for similar items in EconPapers)
Date: 2010
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