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David J. Thomson

Queen's University



24 – Applied Problems in Spectral Analysis of Time Series

Quadratic-Inverse Estimates of Autocorrelation

Sponsor: Section on Physical and Engineering Sciences
Keywords: multitaper, autocorrelation, quadratic-inverse, time-series, likelihood

David J. Thomson

Queen's University

We reconsider the classical problem of estimating the autocorrelation sequence of a stationary time--series using quadratic--inverse spectrum estimates. This collapses the free--parameter expansion ambiguity of quadratic--inverse spectrum estimates and results in estimates of autocorrelations that have simultaneously low bias and variance.

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