On Second-Order Statistics of the Log-Average Periodogram for Gaussian Processes
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arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2023
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| Subjects: | |
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| _version_ | 1866909340633399296 |
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| author | Klockmann, Karolina Krivobokova, Tatyana |
| author_facet | Klockmann, Karolina Krivobokova, Tatyana |
| contents | We present an approximate expression for the covariance of the log-average periodogram for a zero mean stationary Gaussian process. Our findings extend the work of [1] 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2306_10920 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | On Second-Order Statistics of the Log-Average Periodogram for Gaussian Processes Klockmann, Karolina Krivobokova, Tatyana Statistics Theory We present an approximate expression for the covariance of the log-average periodogram for a zero mean stationary Gaussian process. Our findings extend the work of [1] 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. |
| title | On Second-Order Statistics of the Log-Average Periodogram for Gaussian Processes |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2306.10920 |