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On Second-Order Statistics of the Log-Average Periodogram for Gaussian Processes

Statistics Theory 2024-10-10 v2 Statistics Theory

Abstract

We present an approximate expression for the covariance of the log-average periodogram for a zero mean stationary Gaussian process. Our findings extend the work of [1] on the covariance of the log-periodogram by additionally taking averaging over adjacent frequencies into account. Moreover, we provide a simple expression for the non-integer moments of a non-central chi-squared distribution.

Keywords

Cite

@article{arxiv.2306.10920,
  title  = {On Second-Order Statistics of the Log-Average Periodogram for Gaussian Processes},
  author = {Karolina Klockmann and Tatyana Krivobokova},
  journal= {arXiv preprint arXiv:2306.10920},
  year   = {2024}
}

Comments

14 pages, 1 figure