Resource title

Determination of Relevant Frequencies and Modeling Varying Amplitudes of Harmonic Processes

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Resource description

When a process is dominated by few important frequencies the observations of this process can be modelled by a harmonic process (Bloomfield (2000)). If the amplitudes of these dominating frequencies vary over time their dominance may not be apparent during the whole process. To discriminate between frequencies relevant for such a process we determine the distribution of the periodogram ordinates, and use this distribution to derive a procedure to assess the relevance of the frequencies. This procedure uses the standardized median (Gather and Schultze (1999)) to determine the variance of the error process. In a simulation study we show that this procedure is very efficient even under difficult conditions such as a low signal-to-noise ratio or AR(1) disturbances. Furthermore, we show that the necessary transformation to estimate the amplitudes from periodogram ordinates leads to a good normality approximation which makes it especially easy to model the development of the amplitudes from these estimates.

Resource author

Winfried Theis, Claus Weihs

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22581

Resource license

Adapt according to the presented license agreement and reference the original author.