If I glow a white LED bulb and then put a color filter around it (for example, a red color filter or a violet color filter) , then will it change the frequency of light.

It doesn't change the frequency of the light, but it changes the mix of frequencies.

So if we say that white light has an equal amount of light of every frequency (this may not be true for a white LED) then a red filter, for example, will block the blue and green frequencies and let the redder frequencies through.

There are materials that will change the frequency, but we do not generally refer to them as filters. You can generate white light by using a blue or UV source, and add a phosphor coating that generates yellow light. 

http://www.photonstartechnology.com/learn/how_leds_produce_white_light

Most nitpicky: a photon is partially defined by its' frequency. To change the frequency the photon must interact with something, which destroys the old photon and creates a new photon of different frequency.

As used more in practice, if you want to change the frequency you can use nonlinear optics A frequency doubling crystal is probably the simplest case. You shine a infrared or red laser into the crystal, you get out a laser at twice the frequency, most often green (and other garbage light you don't want). 

For LED bulbs, the first type had separate red, green, and blue LEDs inside, so their spectrum would have 3 spikes not a smooth curve. So you could use a very narrow filter to knock out all of the red, green, or blue. Possibly it could be narrow enough that the filter would look transparent in sunlight.