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Statistical Properties of a Modified Welch Method That Uses Sample Percentiles

Citation Author(s):
Felix Schwock, Shima Abadi
Submitted by:
Felix Schwock
Last updated:
23 June 2021 - 12:07pm
Document Type:
Presentation Slides
Document Year:
2021
Event:
Presenters:
Felix Schwock
Paper Code:
2728
 

We present and analyze an alternative, more robust approach to the Welch’s overlapped segment averaging (WOSA) spectral estimator. Our method computes sample percentiles instead of averaging over multiple periodograms to estimate power spectral densities (PSDs). Bias and variance of the proposed estimator are derived for varying sample sizes and arbitrary percentiles. We have found excellent agreement between our expressions and data sampled from a white Gaussian noise process.

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