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# Approximate variances for tapered spectral estimates

Seminar für Statistik, ETH Zürich, Rämistrasse 101, 8092 Zürich, Switzerland
(Impact Factor: 2.24). 09/2010; DOI: 10.1016/j.sigpro.2011.05.018
Source: arXiv

ABSTRACT We propose an approximation of the asymptotic variance that removes a certain
discontinuity in the usual formula for the raw and the smoothed periodogram in
case a data taper is used. It is based on an approximation of the covariance of
the (tapered) periodogram at two arbitrary frequencies. Exact computations of
the variances for a Gaussian white noise and an AR(4) process show that the
approximation is more accurate than the usual formula.

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• ##### Chapter: Time Series: Data Analysis and Theory
false, 02/1976; SIAM: Society for Industrial and Applied Mathematics., ISBN: 0898715016
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##### Article: Fourier Analysis of Time Series: An Introduction
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IEEE Transactions on Systems Man and Cybernetics 05/1977; DOI:10.1109/TSMC.1977.4309709