ON‐LINE FREQUENCY ESTIMATION
E. J. Hannan, Dawei Huang · Journal of Time Series Analysis · 1993
Abstract.An algorithm is presented for on‐line estimation of the frequency ω from dataxj=Acos(jω+φ) +μjwhereμjis 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.