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.

引用

页码：3079 / 3083

页数：5

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