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Estimator Variance

As mentioned in §5.12, the pwelch function in Matlab and Octave offer ``confidence intervals'' for an estimated power spectral density (PSD). A confidence interval encloses the true value with probability $ P$ (the confidence level). For example, if $ P=0.99$, then the confidence level is $ 99\%$.

This section gives a first discussion of ``estimator variance,'' particularly the variance of sample means and sample variances for stationary stochastic processes.



Subsections
Previous: Independent Implies Uncorrelated
Next: Sample-Mean Variance

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About the Author: Julius Orion Smith III
Julius Smith's background is in electrical engineering (BS Rice 1975, PhD Stanford 1983). He is presently Professor of Music and Associate Professor (by courtesy) of Electrical Engineering at Stanford's Center for Computer Research in Music and Acoustics (CCRMA), teaching courses and pursuing research related to signal processing applied to music and audio systems. See http://ccrma.stanford.edu/~jos/ for details.


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