Historical Misconceptions in Autocorrelation Estimation

  title={Historical Misconceptions in Autocorrelation Estimation},
  author={Piet M. T. Broersen},
  journal={IEEE Transactions on Instrumentation and Measurement},
The sample autocovariance function, which is estimated as mean lagged products (LPs) of random observations, can also be obtained as the inverse Fourier transform of the periodogram of the data that are augmented with zeros. Hence, the quality of the sample autocovariance as a representation of stochastic data is the same as that of a raw periodogram. The LP estimate is not based on any efficient estimation principle for random data. The spectral density and the autocovariance function can be… CONTINUE READING

From This Paper

Figures, tables, and topics from this paper.
5 Citations
23 References
Similar Papers


Publications citing this paper.


Publications referenced by this paper.
Showing 1-10 of 23 references

Automatic Autocorrelation and Spectral Analysis

  • P.M.T. Broersen
  • London, U.K.: Springer-Verlag
  • 2006
Highly Influential
10 Excerpts

Digital Processing of Random Signals

  • B. Porat
  • Englewood Cliffs, NJ: Prentice-Hall
  • 1994
Highly Influential
6 Excerpts

Spectral Analysis and Time Series

  • M. B. Priestley
  • London, U.K.: Academic
  • 1981
Highly Influential
12 Excerpts

Introduction to Spectral Analysis

  • P. Stoica, R. Moses
  • Upper Saddle River, NJ: Prentice-Hall
  • 1997
Highly Influential
8 Excerpts

Similar Papers

Loading similar papers…