论文信息 - THE COMPARISON OF LEAST SQUARES AND THIRD‐ORDER PERIODOGRAM PROCEDURES IN THE ESTIMATION OF BIFREQUENCY

THE COMPARISON OF LEAST SQUARES AND THIRD‐ORDER PERIODOGRAM PROCEDURES IN THE ESTIMATION OF BIFREQUENCY

. Given a stretch of time series values, the third-order periodogram is investigated as a criterion for use in the estimation of bifrequencies, that is of frequency triples (ω1ω2, ω3) with ω3= 2ω -ω1ω2. The least squares estimates of such frequencies are compared with estimates derived by maximizing the modulus of the third-order periodogram. It is found that neither estimation procedure is uniformly better than the other.

D. Brillinger

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