Keywords
Gaussian processes, correlation methods, probability, random processes, spectral analysis
Abstract
Welch's (1967) method for spectral estimation of averaging modified periodograms has been widely used for decades. Because such an estimate relies on random data, the estimate is also a random variable with some probability density function. Here, the PDF of a power estimate is derived for an estimate based on an arbitrary number of frequency bins, overlapping data segments, amount of overlap, and type of data window, given a correlated Gaussian input sequence. The PDFs of several cases are plotted and found to be distinctly non-Gaussian (the asymptotic result of averaging frequency bins and/or data segments), using the Kullback-Leibler distance as a measure. For limited numbers of frequency bins or data segments, the precise PDF is considerably skewed and will be important in applications such as maximum likelihood tests.
Original Publication Citation
Johnson, P. E., and D. G. Long. "The Probability Density of Spectral Estimates Based on Modified Periodogram Averages." Signal Processing, IEEE Transactions on 47.5 (1999): 1255-61
BYU ScholarsArchive Citation
Long, David G. and Johnson, Paul E., "The probability density of spectral estimates based on modified periodogram averages" (1999). Faculty Publications. 624.
https://scholarsarchive.byu.edu/facpub/624
Document Type
Peer-Reviewed Article
Publication Date
1999-05-01
Permanent URL
http://hdl.lib.byu.edu/1877/1123
Publisher
IEEE
Language
English
College
Ira A. Fulton College of Engineering and Technology
Department
Electrical and Computer Engineering
Copyright Status
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