IEEE - Institute of Electrical and Electronics Engineers, Inc. - Persistent Misconceptions in Autocorrelation Estimation

IEEE Instrumentation and Measurement Technology Conference

Author(s): P.M.T. Broersen
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 April 2006
Conference Location: Sorrento, Italy
Conference Date: 24 April 2006
Page(s): 868 - 873
ISBN (CD): 0-7803-9360-0
ISBN (Paper): 0-7803-9359-7
ISSN (Paper): 1091-5281
DOI: 10.1109/IMTC.2006.328236
Regular:

The non-parametric sample autocovariance function, estimated as mean lagged products of random observations, is the Fourier transform of the periodogram. Hence, the quality of the sample... View More

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