DocumentCode
3541263
Title
Some comments on multitaper estimates of autocorrelation
Author
Thomson, David J.
Author_Institution
Queen´´s Univ., Kingston, ON, Canada
fYear
2012
fDate
5-8 Aug. 2012
Firstpage
656
Lastpage
659
Abstract
We reconsider the classical problem of estimating the autocorrelation sequence of a stationary time-series from the viewpoint of multitaper spectrum estimates. This results in estimates of the autocorrelation that have both lower variance and, in particular, do not have the very slow decay that is characteristic of ordinary autocorrelation estimates.
Keywords
correlation methods; time series; autocorrelation sequence; multitaper spectrum estimates; ordinary autocorrelation estimates; stationary time-series; Correlation; Fourier transforms; Frequency estimation; Kernel; Presses; Time series analysis;
fLanguage
English
Publisher
ieee
Conference_Titel
Statistical Signal Processing Workshop (SSP), 2012 IEEE
Conference_Location
Ann Arbor, MI
ISSN
pending
Print_ISBN
978-1-4673-0182-4
Electronic_ISBN
pending
Type
conf
DOI
10.1109/SSP.2012.6319786
Filename
6319786
Link To Document