THE ESTIMATION OF COHERENCE.
STANFORD UNIV CALIF DEPT OF STATISTICS
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Coherence is the frequency domain analog of the classical correlation coefficient. In recent years investigators have become aware that the usual procedure for estimating coherence may often be seriously inadequate in particular, low estimates have appeared in cases where the true coherence is known to be high. A critical discussion of the usual estimates leads to the proposal of the so-called cross-regressive filter model. In spite of the naturalness of estimates of coherence obtained in this way, they have apparently not been used in the past. In testing whether the proposed model is satisfied one needs to test the hypothesis of identically zero coherence a natural test is proposed, requiring a knowledge of the mean and variance of the estimated coherence under the null hypothesis.
- Statistics and Probability