Accurate frequency estimation with short time series data - maximum entropy methods or Yule Walker AR method?
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I am using the Lomb-Scargle code to estimate some frequencies in a short time-series, the time series is shown in the first image. The results of the Lomb-Scargle analysis are shown in the second, and I have zoomed in on a prominent peak at about 2 cycles per day. However this peak is smeared and thus it is proving difficult to resolve the real frequency of this component. Is there any other methods, or improvements to the method I am using, to accurately resolve the important frequency components within this short time-series?



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3 Comments
David Young
on 12 Feb 2015
I know that at one time maximum entropy methods were applied to this problem. I'll try to give a proper answer when I get a chance, but someone else may well know more about this area.
Donald John
on 12 Feb 2015
Donald John
on 12 Feb 2015
Edited: Donald John
on 12 Feb 2015
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