Asymptotic Distribution of Estimates for a Time-varying Parameter in a Harmonic Model with Multiple Fundamentals
نویسنده
چکیده
TIME-VARYING PARAMETER IN A HARMONIC MODEL WITH MULTIPLE FUNDAMENTALS Rafael A. Irizarry Johns Hopkins University 615 N. Wolfe Street, Baltimore, Maryland 21205 [email protected], 410-614-5157, 410-955-0958 (fax) 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.
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