Journal of Time Series Analysis

Frequency and phase estimation in time series with quasi periodic components

Journal Article

In this article, we consider frequency and phase estimation in a noisy oscillation with potentially non‐constant phase increments resulting from an underlying non‐constant frequency. A maximum periodogram method on segments is used to estimate the time‐varying frequency and a subsequent least squares approach to estimate the phase. A key problem addressed in this article is the question how to set up a meaningful concept of asymptotic statistics for this model. This problem is solved by a special infill asymptotics concept. We use this concept to prove consistency and asymptotic normality of the estimates. Furthermore, the phase estimate is compared to the Hilbert transform in a simulation.

Related Topics

Related Publications

Related Content

Site Footer


This website is provided by John Wiley & Sons Limited, The Atrium, Southern Gate, Chichester, West Sussex PO19 8SQ (Company No: 00641132, VAT No: 376766987)

Published features on are checked for statistical accuracy by a panel from the European Network for Business and Industrial Statistics (ENBIS)   to whom Wiley and express their gratitude. This panel are: Ron Kenett, David Steinberg, Shirley Coleman, Irena Ograjenšek, Fabrizio Ruggeri, Rainer Göb, Philippe Castagliola, Xavier Tort-Martorell, Bart De Ketelaere, Antonio Pievatolo, Martina Vandebroek, Lance Mitchell, Gilbert Saporta, Helmut Waldl and Stelios Psarakis.