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On‐Line Frequency Estimation

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  • E. J. Hannan
  • D. Huang

Abstract

. An algorithm is presented for on‐line estimation of the frequency ω from data xj=A cos(jω+φ) +μj where μj is generated by a stationary process. The algorithm requires only about 20 calculations at each time point. Theorems justifying the algorithm as asymptotically efficient are presented. Simulations show the algorithm working well at reasonably low signal‐to‐noise ratios. A feature of the algorithm is that it must not be run for too long without reinitiation with a new initial value. A rule for choosing these reinitiation times is given.

Suggested Citation

  • E. J. Hannan & D. Huang, 1993. "On‐Line Frequency Estimation," Journal of Time Series Analysis, Wiley Blackwell, vol. 14(2), pages 147-161, March.
    • Handle: RePEc:bla:jtsera:v:14:y:1993:i:2:p:147-161
    DOI: 10.1111/j.1467-9892.1993.tb00134.x
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