Poutine: A correlation estimator for ergodic stationary signals

摘要

In this work, we present POUTINE, a novel estimator of the auto-correlation function (or more generally, the cross-correlation function) of ergodic stationary signals, an important task in a variety of applications. This estimator sparsely and non-adaptively samples the process via Bernoulli selection, generalizing the classical estimator in a natural way, and offering significant sampling reductions while sacrificing a modest degree of accuracy. Both the mean and variance of our estimator are explicitly analyzed, and in particular, we show that POUTINE gives an unbiased estimate of the classical estimator, which in turn gives an unbiased estimate of the underlying second-order statistics of interest. Furthermore, we show that POUTINE is a consistent estimator with variance approaching zero asymptotically. We demonstrate favorable performance of this approach for a simple stochastic process.