GENERAL PROBLEMS OF METROLOGY AND MEASUREMENT TECHNIQUE

DETERMINATION OF THE CORRELATION INTERVAL OF A RANDOM PROCESS BY CALCULATING THE CONVOLUTION OF SAMPLE FUNCTIONS

Yakimov, V. N.

Measurement Techniques 45(9):p 901-907, September 2002.

A fast digital algorithm has been developed for estimating the correlation interval by utilizing a sign probability transformation of a realization of a random process and then calculating the average value of the convolutions of sample sign functions. An analysis is given of the errors due to bias and variance of the estimated result.