New methods for fitting multiple sinusoids from irregularly sampled data - Archive ouverte HAL
Article Dans Une Revue Statistical Methodology Année : 2008

New methods for fitting multiple sinusoids from irregularly sampled data

Résumé

A novel framework is proposed for the estimation of multiple sinusoids from irregularly sampled time series. This spectral analysis problem is addressed as an under-determined inverse problem, where the spectrum is discretized on an arbitrarily thin frequency grid. As we focus on line spectra estimation, the solution must be sparse, i.e. the amplitude of the spectrum must be zero almost everywhere. Such prior information is taken into account within the Bayesian framework. Two models are used to account for the prior sparseness of the solution, namely a Laplace prior and a Bernoulli Gaussian prior, associated to optimization and stochastic sampling algorithms, respectively. Such approaches are efficient alternatives to usual sequential prewhitening methods, especially in case of strong sampling aliases perturbating the Fourier spectrum. Both methods should be intensively tested on real data sets by physicists.

Dates et versions

hal-00392455 , version 1 (08-06-2009)

Identifiants

Citer

Sébastien Bourguignon, Hervé Carfantan. New methods for fitting multiple sinusoids from irregularly sampled data. Statistical Methodology, 2008, 5, pp.318-327. ⟨10.1016/J.STAMET.2007.10.004⟩. ⟨hal-00392455⟩
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