Second-Order Statistics of Spectral and Correlation Estimates Obtained by Means of Weighted Overlapped FFT Processing

Abstract

Closed-form relations have been obtained for the covariances of the spectral estimates, as well as the correlation estimates, that result from weighted overlapped FFT processing of a stationary process with Gaussian characteristics. In particular, estimates that result from time-displaced overlapped data segments and different frequency bins have been considered. The effects of wraparound in the time-delay domain of the correlation estimates have also been incorporated. The fundamental parameters of the study are the weighting segment length K, the amount of lag L, and the FFT size N, as well as the input data correlation function C(k) and the particular weighting sequence w(k).

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Document Details

Document Type
Technical Report
Publication Date
Sep 30, 2005
Accession Number
ADA439705

Entities

People

  • Albert H. Nuttall

Organizations

  • Naval Undersea Warfare Center

Tags

Communities of Interest

  • Materials and Manufacturing Processes
  • Sensors

DTIC Thesaurus Topics

  • Covariance
  • Data Science
  • Data Sets
  • Delta Functions
  • Discrete Fourier Transforms
  • Frequency
  • Frequency Domain
  • Information Processing
  • Information Science
  • Military Research
  • Order Statistics
  • Probability
  • Random Variables
  • Sequences
  • Signal Processing
  • Stationary Processes
  • Statistics

Readers

  • Approximation Theory.