ESTIMATION OF COHERENCE SPECTRUM OF NONGAUSSIAN TIME SERIES POPULATIONS

Previous work on computation of coherence estimates between two time series and the confidence intervals about these estimates has always assumed that the time series have a Gaussian probability density function. Here a Monte Carlo study was performed, computing coherences and confidence intervals upon non-Gaussian time series. Using both a rectangular distribution and a x2 distribution with one degree of freedom, the results appear to justify the notion that the assumption of a Gaussian distribution has a fairly small importance in the computation of the above statistics. © 1969, IEEE. All rights reserved.