Abstract
The martingale optimality principle is used to estimate the positive time-varying amplitudes that appear in the sum of sinusoids models. A closed form expression is obtained for the estimates of the time-varying amplitudes. These estimates are then embedded into the observation equation and nonlinear optimization methods are used to find the unknown frequencies. Given are examples and comparisons to existing methods.
► Estimation of the parameters of sum of sinusoids. ► The martingale optimality principle is used. ► The nonparametric problem has been transformed into parametric one.