Title :
Some comments on multitaper estimates of autocorrelation
Author :
Thomson, David J.
Author_Institution :
Queen´´s Univ., Kingston, ON, Canada
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;
Conference_Titel :
Statistical Signal Processing Workshop (SSP), 2012 IEEE
Conference_Location :
Ann Arbor, MI
Print_ISBN :
978-1-4673-0182-4
Electronic_ISBN :
pending
DOI :
10.1109/SSP.2012.6319786
