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arXiv · 1009.2698

Approximate variances for tapered spectral estimates

Michael Amrein·Hans R. Künsch
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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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BibTeXRIS

Michael Amrein, Hans R. Künsch. 2011-01-24. Approximate variances for tapered spectral estimates. https://arxiv.org/abs/1009.2698

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