Deriving the sampling errors of correlograms for general white noise

Details Deriving the sampling errors of correlograms for general white noise Deriving the sampling errors of correlograms for general white noise

2005-05-20

arxiv.org/abs/physics/0505145v1

Physics

Data Analysis, Statistics and Probability

Submitted to Biometrika

Scientific paper

We derive the second-order sampling properties of certain autocovariance and autocorrelation estimators for sequences of independent and identically distributed samples. Specifically, the estimators we consider are the classic lag windowed correlogram, the correlogram with subtracted sample mean, and the fixed-length summation correlogram. For each correlogram we derive explicit formulas for the bias, covariance, mean square error and consistency for generalised higher-order white noise sequences. In particular, this class of sequences may have non-zero means, be complexed valued and also includes non-analytical noise signals. We find that these commonly used correlograms exhibit lag dependent covariance despite the fact that these processes are white and hence by definition do not depend on lag.

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