Multiple Frequency Estimation in Mixed-Spectrum Time Series by Parametric Filtering
Abstract
A general parametric filtering procedure (the PF method) is proposed for the problem of multiple frequency estimation in mixed-spectrum times series (i.e., superimposed sinusoids in additive noise). The method is based on the fact that a sum of sinusoids satisfies an homogeneous autoregressive (AR) equation. The gist of the method is to parametrize a linear filter so that it possesses a certain parametrization property as suggested by the particular form of the bias encountered by Prony's (least squares) estimator. For any parametric filter with this property, in addition to some mild regularity conditions, the least squares estimator from the filtered data, as a function of the filter parameter, constitutes a contractive mapping whose multivariate fixed-point serves as a consistent AR estimator.
Document Details
- Document Type
- Technical Report
- Publication Date
- Jan 01, 1992
- Accession Number
- ADA452459
Entities
People
- Ta-hsin Li
Organizations
- University of Maryland