Statistics of Sxy estimates

The statistics of Sxy estimates derived from orthogonal-component measurements are examined. Based on results of Goodman (1957), the probability density function (pdf) for Sxy(f) estimates is derived, and a closed-form solution for arbitrary moments of the distribution is obtained. Characteristic functions are used to derive the exact pdf of Sxy(tot). In practice, a simple Gaussian approximation is found to be highly accurate even for relatively few degrees of freedom. Implications for experiment design are discussed, and a maximum-likelihood estimator for a posterior estimation is outlined.