Approximate variances for tapered spectral estimates |
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Authors: | Michael Amrein,Hans R. Kü nsch |
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Affiliation: | Seminar für Statistik, ETH Zürich, Rämistrasse 101, 8092 Zürich, Switzerland |
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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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Keywords: | Asymptotic variance Data taper (smoothed) Periodogram |
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