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Frequency estimation based on the cumulated Lomb–Scargle periodogram
Author(s) -
LévyLeduc C.,
Moulines E.,
Roueff F.
Publication year - 2008
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.2008.00599.x
Subject(s) - mathematics , estimator , periodogram , monte carlo method , gaussian , variance (accounting) , expression (computer science) , statistics , econometrics , computer science , economics , physics , accounting , quantum mechanics , programming language
. We consider the problem of estimating the period of an unknown periodic function observed in additive Gaussian noise sampled at irregularly spaced time instants in a semiparametric setting. To solve this problem, we propose a novel estimator based on the cumulated Lomb–Scargle periodogram. We prove that this estimator is consistent, asymptotically Gaussian and we provide an explicit expression of the asymptotic variance. Some Monte Carlo experiments are then presented to support our claims.