Kernel estimation of the instantaneous frequency

Abstract

We consider kernel estimators of the instantaneous frequency of a slowly evolving sinusoid in white noise. The expected estimation error consists of two terms. The systematic bias error grows as the kernel halfwidth increases while the random error decreases. For a non-modulated signal, $g(t)$, the kernel halfwidth which minimizes the expected error scales as$h \sim \left[{ \sigma^2 \over N| \partial_t^2 g^{}|^2 } \right]^{1/ 5}$, where %$A^{(\ell)}$ is the coherent signal at frequency, $f_{\ell}$, $\sigma^2$ is the noise variance and $N$ is the number of measurements per unit time. We show that estimating the instantaneous frequency corresponds to estimating the first derivative of a modulated signal, $A(t)\exp(i\phi(t))$. For instantaneous frequency estimation, the halfwidth which minimizes the expected error is larger: $h_{1,3} \sim \left[{ \sigma^2 \over A^2N| \partial_t^3 (e^{i \tilde{\phi}(t)} )|^2 } \right]^{1/ 7}$. Since the optimal halfwidths depend on derivatives of the unknown function, we initially estimate these derivatives prior to estimating the actual signal.