Approximate variances for tapered spectral estimates
Computation
2011-01-25 v2 Statistics Theory
Statistics Theory
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.
Keywords
Cite
@article{arxiv.1009.2698,
title = {Approximate variances for tapered spectral estimates},
author = {Michael Amrein and Hans R. Künsch},
journal= {arXiv preprint arXiv:1009.2698},
year = {2011}
}