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Maximizing the Periodogram

It has been well known for at least twenty years that computing the maximizer of the periodogram, in order to estimate the unknown frequency in a noisy sinusoid, is problematic. In particular, because the periodogram is highly nonlinear, a grid size of order o (T-1) is needed to find the maximizer reliably, where T is the sample size, and that Newton's method may fail to find the zero of the first derivative of the periodogram closest to the maximizer of the periodogram calculated, for example, using the FFT. In this paper, we show that Newton's method does, in fact, work if it is applied to an appropriately chosen monotonic function of the periodogram.