Component statistical analysis of second order hidden periodicities

I. Javorskyj (1) , Dominique Dehay (2) , I. Kravets (3)

1 UKW - Kazimierz Wielki University
2 IRMAR - Institut de Recherche Mathématique de Rennes
3 Karpenko Physico-Mechanical [ Lviv]

The component method is applied to define estimators of the periods for Gaussian periodically correlated random processes (mathematical model of stochastic oscillations). The properties of these period estimators are obtained using some small parameter method and the rate of convergence is shown to be optimal. Specific results for the simplest models of periodically correlated process are presented. Finally the method is illustrated with a simulated sequence and a real life vibration signal.

Mots clés: Gaussian periodically correlated random processes; Component method; Hidden periodicity; Frequency estimation; Small parameter; Vibration

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

I. Javorskyj, Dominique Dehay, I. Kravets. Component statistical analysis of second order hidden periodicities. Digital Signal Processing, 2014, 26, pp.50-70. ⟨10.1016/j.dsp.2013.12.002⟩. ⟨hal-00955587⟩