Asymptotic distribution of estimates for a time-varying parameter in a harmonic model with multiple fundamentals

Rafael A. Irizarry

Research output: Contribution to journalArticle

Abstract

Window-based estimates for stochastic harmonic regression models are useful for cases where harmonic parameters appear to be time-varying. Least squares estimates for harmonic models with one fundamental have been studied and asymptotic variance expressions have been developed. This paper extends these results to weighted least squares for the multiple fundamental case, and presents an application in signal processing.

Original languageEnglish (US)
Pages (from-to)1041-1067
Number of pages27
JournalStatistica Sinica
Volume10
Issue number4
StatePublished - Oct 1 2000

Keywords

  • Asymptotic variance
  • Harmonic regression
  • Signal processing
  • Sound analysis
  • Time-varying parameters
  • Weighted least squares estimates

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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