New methods for fitting multiple sinusoids from irregularly sampled data

• Published in: Statistical methodology Vol. 5; no. 4; pp. 318 - 327
• Main Authors: Bourguignon, Sébastien, Carfantan, Hervé
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01-07-2008; Elsevier
• Subjects: Astrophysics; Bayesian estimation; High Energy Astrophysical Phenomena; MCMC; Optimization; Physics; Sciences of the Universe; Sparse representations; Spectral analysis; MCMC; Bayesian estimation; Sparse representations; Spectral analysis; Optimization
• ISSN: 1572-3127; 1878-0954
• DOI: 10.1016/j.stamet.2007.10.004

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.