Autoregressive frequency detection using regularized least squares

DOI10.1016/j.jmva.2010.02.006zbMath1188.62277OpenAlexW1986313574MaRDI QIDQ972897

Yulia R. Gel, Bei Chen

Publication date: 21 May 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2010.02.006

zbMATH Keywords

regularizationsinusoidal signalsautoregressive approximationfrequency detectionrobust trimming algorithm

Mathematics Subject Classification ID

Related Items (1)

Banded Regularization of Autocovariance Matrices in Application to Parameter Estimation and Forecasting of Time Series

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A well-conditioned estimator for large-dimensional covariance matrices
• Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
• Strong consistency of the regularized least-squares estimates of infinite autoregressive models
• Covariance regularization by thresholding
• Asymptotic bias of the high-order autoregressive estimates of sinusoidal frequencies
• Asymptotic normality of sample autocovariances with an application in frequency estimation
• Regularized estimation of large covariance matrices
• Hidden Frequency Estimation with Data Tapers
• The Estimation and Tracking of Frequency
• On Kay's Frequency Estimator
• Asymptotic properties of the high-order Yule-Walker estimates of sinusoidal frequencies
• Concepts de dépendance et ordres stochastiques pour des lois bidimensionnelles
• SOME PROPERTIES OF AUTOREGRESSIVE ESTIMATES FOR PROCESSES WITH MIXED SPECTRA
• Accurate frequency estimation at low signal-to-noise ratio
• 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
• On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences
• 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
• Non-linear time series regression
• On the estimation of a harmonic component in a time series with stationary independent residuals
• Identification of an unstable ARMA equation

This page was built for publication: Autoregressive frequency detection using regularized least squares