On frequency estimation

Abstract

This paper discusses a least-squares procedure and the use of the periodogram for isolating a discrete harmonic of a time series. It is shown that the usual asymptotics on estimation of frequency, amplitude and phase of such a harmonic have to be used with great caution from a moderate sample perspective. Computational issues are discussed and some illustrations are provided. Bolt & Brillinger (1979) make use of these asymptotic results.