2005/05/20 by T. D. Carozzi, Carozzi, T. D., A. M. Buckley +2
Computer Science · Engineering · Physics and Astronomy · #Antenna Design and Optimization #Data Analysis #FOS: Physical sciences #Millimeter-Wave Propagation and Modeling #Speech and Audio Processing #Statistics and Probability (physics.data-an) #physics.data-an
paper · pdf · doi:10.48550/arxiv.physics/0505145
Submitted to Biometrika
arxiv created 2005/05/20 · openalex publication_date 2005/05/20 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We derive the second-order sampling properties of certain autocovariance and autocorrelation estimators for sequences of independent and identically distributed samples. Specifically, the estimators we consider are the classic lag windowed correlogram, the correlogram with subtracted sample mean, and the fixed-length summation correlogram. For each correlogram we derive explicit formulas for the bias, covariance, mean square error and consistency for generalised higher-order white noise sequences. In particular, this class of sequences may have non-zero means, be complexed valued and also includes non-analytical noise signals. We find that these commonly used correlograms exhibit lag dependent covariance despite the fact that these processes are white and hence by definition do not depend on lag.