Approximate variances for tapered spectral estimates

Seminar für Statistik, ETH Zürich, Rämistrasse 101, 8092 Zürich, Switzerland
Signal Processing (Impact Factor: 2.21). 09/2010; 91(11). DOI: 10.1016/j.sigpro.2011.05.018
Source: arXiv


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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Available from: Hans R. Künsch, Aug 11, 2014