| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 563597 | Signal Processing | 2011 | 5 Pages |
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.
► New approximation of the asymptotic variance for the smoothed tapered periodogram. ► It removes a certain discontinuity in the usual formula. ► Exact calculations show that it is more accurate than the usual formula.
Keywords
Related Topics
Physical Sciences and Engineering
Computer Science
Signal Processing
Authors
Michael Amrein, Hans R. Künsch,