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Asymptotic distribution of estimates for a time-varying parameter in a harmonic model with multiple fundamentals. (English) Zbl 0997.62066

Summary: Window-based estimates for stochastic harmonic regression models are useful for cases where harmonic parameter 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.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20 Asymptotic distribution theory in statistics
62M09 Non-Markovian processes: estimation