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Unformatted text preview: ral estimators
Instead of computing an unweighted average of the periodogram at all nearby frequencies, it is common to consider other weighted averages, typically with a smoother weighting function. Consider the weighted average ^ f () =
|j|Ln Wn (j)I(^(n) - j/n), where the bandwidth Ln is allowed to vary with n, and Wn is called the spectral window function. 5 Other smoothed spectral estimators
For example, if Wn (j) = 1 0
L if |j| < L/2, otherwise, then we have the smoothed spectral estimator we consider earlier, ^ f () =
j Wn (j)I(^(n) - j/n) I(^(n) - j/n). 1 = L |j|<L/2 This is Daniel...
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This note was uploaded on 05/14/2011 for the course STAT 153 taught by Professor Staff during the Fall '08 term at University of California, Berkeley.
- Fall '08