关于频率估计

On Frequency Estimation

Biometrika · 1988
被引 1
ABS 4

中文导读

讨论了用最小二乘法和周期图分离时间序列中离散谐波的方法,指出从中等样本角度看,频率、振幅和相位的通常渐近估计需谨慎使用,并讨论了计算问题。

Abstract

This paper discusses a least-squares procedure and the use of the periodogram for isolating a discrete harmonic of a time series. It is shown that the usual asymptotics on estimation of frequency, amplitude and phase of such a harmonic have to be used with great caution from a moderate sample perspective. Computational issues are discussed and some illustrations are provided. Bolt & Brillinger (1979) make use of these asymptotic results.

时间序列计量经济学统计学