Statistical Errors in Advanced Estimates

Abstract

This chapter discusses statistical errors in advanced parameter estimates. It emphasizes on frequency domain properties of joint sample records from two different stationary (ergodic) random processes. The advanced parameter estimates discussed in the chapter include magnitude and phase estimates of cross-spectral density functions, followed by various quantities contained in single-input/ output problems and multiple-input/output problems. In particular, statistical error formulas are developed for frequency response function estimates (gain and phase), coherence function estimates, coherent output spectrum estimates, multiple coherence function estimates, and partial coherence function estimates. The chapter presents summaries on the main normalized random error formulas for various spectral density estimates and single-input/output model estimates. Controlled Vocabulary Terms coherence; cross spectrum; frequency domain; input/output process; random error; spectral density function; statistics

Cite this paper

@misc{anon2010statistical,
  title = {{Statistical Errors in Advanced Estimates}},
  journal = {Wiley series in probability and statistics},
  pages = {289--316},
  year = {2010},
  doi = {10.1002/9781118032428.ch9}
}

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