Engineering
8 years ago

New method accurately estimates frequencies in time series data.

Stochastic Processes and their Applications
Asymptotic normality of sample autocovariances with an application in frequency estimation
Ta‐Hsin Li, Benjamin Kedem, S. Yakowitz

Paper Summary

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The article proves that sample autocovariances in time series with mixed-spectra are normally distributed. This extends previous results for linear processes. The normality holds even after filtering, as long as the filter is stable. This means the end-point effect of limited data can be ignored. The research also shows that a new method for estimating frequencies is asymptotically normal.