eprintid: 20794
rev_number: 14
eprint_status: archive
userid: 2326
dir: disk0/00/02/07/94
datestamp: 2016-05-30 08:23:05
lastmod: 2016-06-20 14:19:36
status_changed: 2016-05-30 08:23:05
type: article
metadata_visibility: show
creators_name: Chen, Zhao-Guo
creators_name: Wu, Ka Ho
creators_name: Dahlhaus, Rainer
title: Hidden Frequency Estimation with Data Tapers
subjects: 510
divisions: 110400
keywords: Central limit theorem; Frequency leakage; Fourier transformation; Law of the iterated logarithm; Periodogram; Secondary analysis
abstract: Detecting and estimating hidden frequencies have long been recognized as an important problem in time series. This paper studies the asymptotic theory for two methods of high-precision estimation of hidden frequencies (secondary analysis method and maximum periodogram method) under the premise of using a data taper. In ordinary situations, a data taper may reduce the estimation precision slightly. However, when there are high peaks in thespectral density of the noise or other strong hidden periodicities with frequencies close to the hidden frequency of interest, the procedures of detection of the existence and the estimation for the hidden frequency of interest fail if data are non-tapered whereas they may work well if the data are tapered. The theoretical results are verified by some simulated examples.
date: 2000-03
publisher: Wiley-Blackwell
id_scheme: DOI
id_number: 10.11588/heidok.00020794
schriftenreihe_cluster_id: sr-10a
schriftenreihe_order: 54
ppn_swb: 1657240762
own_urn: urn:nbn:de:bsz:16-heidok-207946
language: eng
bibsort: CHENZHAOGUHIDDENFREQ200003
full_text_status: public
publication: Journal of Time Series Analysis
volume: 21
number: 2
place_of_pub: Oxford
pagerange: 113-142
pages: 45
issn: 1467-9892
citation:   Chen, Zhao-Guo ; Wu, Ka Ho ; Dahlhaus, Rainer  (2000) Hidden Frequency Estimation with Data Tapers.  Journal of Time Series Analysis, 21 (2).  pp. 113-142.  ISSN 1467-9892     
document_url: https://archiv.ub.uni-heidelberg.de/volltextserver/20794/1/Beitrag.54.pdf