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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.



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``Spectral Audio Signal Processing'', by Julius O. Smith III, W3K Publishing, 2011, ISBN 978-0-9745607-3-1.
Copyright © 2022-02-28 by Julius O. Smith III
Center for Computer Research in Music and Acoustics (CCRMA),   Stanford University
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