Abstract
Stochastic calculus methods are used to estimate the frequencies of a polynomial sinusoid when the amplitude is modeled as an Ornstein-Uhlenbeck process. Using stochastic calculus, one is able to develop a stochastic differential equation that relates the observations to the frequencies. The likelihood function is obtained through Girsanov theory and the Radon-Nikodym derivative. Maximum likelihood estimates are obtained numerically using stochastic annealing. Bootstrapping is used to improve the estimate of the frequencies.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
