Consider now the *sample variance* estimator

(C.33) |

where the mean is assumed to be , and denotes the unbiased sample autocorrelation of based on the samples leading up to and including time . Since is unbiased, . The variance of this estimator is then given by

where

The autocorrelation of
need not be simply related to that of
. However, when
is assumed to be *Gaussian* white
noise, simple relations do exist. For example, when
,

(C.34) |

by the independence of and , and when , the

When is assumed to be Gaussian white noise, we have

(C.35) |

so that the variance of our estimator for the variance of Gaussian white noise is

Var | (C.36) |

Again we see that the variance of the estimator declines as .

The same basic analysis as above can be used to estimate the variance of the sample autocorrelation estimates for each lag, and/or the variance of the power spectral density estimate at each frequency.

As mentioned above, to obtain a grounding in statistical signal processing, see references such as [201,121,95].

[How to cite this work] [Order a printed hardcopy] [Comment on this page via email]

[Watch the Video] [Work some Exercises] [Examination]

Copyright ©

Center for Computer Research in Music and Acoustics (CCRMA), Stanford University