Estimator Variance

As mentioned in §6.12, the pwelch function in Matlab and Octave offer ``confidence intervals'' for an estimated power spectral density (PSD). A confidence interval encloses the true value with probability $P$ (the confidence level). For example, if $P=0.99$ , then the confidence level is $99\%$ .

This section gives a first discussion of ``estimator variance,'' particularly the variance of sample means and sample variances for stationary stochastic processes.