On Second-Order Statistics of the Log-Average Periodogram for Gaussian Processes

被引：0
|
作者：
Klockmann, Karolina [1 ]
Krivobokova, Tatyana [1 ]
机构：
[1] Univ Vienna, Dept Stat & Operat Res, A-1090 Vienna, Austria
来源：
IEEE SIGNAL PROCESSING LETTERS | 2024年 / 31卷
关键词：
Covariance matrices; Time series analysis; Density functional theory; Gaussian processes; Discrete cosine transforms; Vectors; Time-frequency analysis; Estimation; Eigenvalues and eigenfunctions; Cepstral analysis; Log-periodogram; smoothing; spectral density; TIME-SERIES; REGRESSION;
D O I：
10.1109/LSP.2024.3483033
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
We present an approximate expression for the covariance of the log-average periodogram for a zero mean stationary Gaussian process. Our findings extend existing results on the covariance of the log-periodogram by additionally taking averaging over adjacent frequencies into account. Moreover, we provide a simple expression for the non-integer moments of a non-central chi-squared distribution.
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页码：3079 / 3083
页数：5
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