The probability density of spectral estimates based on modified periodogram averages

Welch’s method for spectral estimation of averaging modified periodograms has been widely used for decades. Because such an estimate relies on random data, the estimate is also a random variable with some probability density function. Here, the pdf of a power estimate is derived for an estimate based on an arbitrary number of frequency bins, overlapping data segments, amount of overlap, and type of data window, given a correlated Gaussian input sequence. The pdf’s of several cases are plotted and found to be distinctly non-Gaussian (the asymptotic result of averaging frequency bins and/or data segments), using the Kullback–Leibler distance as a measure. For limited numbers of frequency bins or data segments, the precise pdf is considerably skewed and will be important in applications such as maximum likelihood tests.