Approximate variances for tapered spectral estimates

DOI10.1016/J.SIGPRO.2011.05.018MaRDI QIDQ634896zbMATH OpenOpenAlexFDO

Authors Michael Amrein, H. R. Künsch

Publication date 17 August 2011

Published in Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1009.2698

zbMATH Keywords

asymptotic variancesmoothed periodogramdata taper

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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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Cites work

• scientific article; zbMATH DE number 3502569 (Why is no real title available?)
• Fourier analysis of time series. An introduction.
• Spectral Analysis for Physical Applications

Cited in

(4)

• Multitaper spectrum estimation for time series with gaps
• Geostatistical Analysis Through Spectral Techniques: Some Words of Caution
• The comparative analysis of some periodogram's estimates of spectral density
• On the frequency domain estimation of the innovation variance of a stationary univariate time series

Describes a project that uses

Uses Software

• R
• sapa

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