Historical Misconceptions in Autocorrelation Estimation

@article{Broersen2007HistoricalMI,
  title={Historical Misconceptions in Autocorrelation Estimation},
  author={Piet M. T. Broersen},
  journal={IEEE Transactions on Instrumentation and Measurement},
  year={2007},
  volume={56},
  pages={1189-1197}
}
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

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