Next  |  Prev  |  Up  |  Top  |  Index  |  JOS Index  |  JOS Pubs  |  JOS Home  |  Search


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.



Subsections
Next  |  Prev  |  Up  |  Top  |  Index  |  JOS Index  |  JOS Pubs  |  JOS Home  |  Search

[How to cite this work]  [Order a printed hardcopy]  [Comment on this page via email]
[Lecture Video]  [Exercises]  [Examination]  
``Spectral Audio Signal Processing'', by Julius O. Smith III, W3K Publishing, 2011, ISBN 978-0-9745607-3-1.
Copyright © 2014-06-03 by Julius O. Smith III
Center for Computer Research in Music and Acoustics (CCRMA),   Stanford University
CCRMA