Approximate variances for tapered spectral estimates

Details Approximate variances for tapered spectral estimates Approximate variances for tapered spectral estimates

2010-09-14

arxiv.org/abs/1009.2698v2

Statistics

Computation

Scientific paper

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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