Statistical properties of Fourier-based time-lag estimates

Context. The study of X-ray time-lag spectra in active galactic nuclei (AGN) is currently an active research area, since it has the potential to illuminate the physics and geometry of the innermost region (I.e. close to the putative super-massive black hole) in these objects. To obtain reliable information from these studies, the statistical properties of time-lags estimated from data must be known as accurately as possible.
Aims: We investigated the statistical properties of Fourier-based time-lag estimates (I.e. based on the cross-periodogram), using evenly sampled time series with no missing points. Our aim is to provide practical "guidelines" on estimating time-lags that are minimally biased (I.e. whose mean is close to their intrinsic value) and have known errors.
Methods: Our investigation is based on both analytical work and extensive numerical simulations. The latter consisted of generating artificial time series with various signal-to-noise ratios and sampling patterns/durations similar to those offered by AGN observations with present and past X-ray satellites. We also considered a range of different model time-lag spectra commonly assumed in X-ray analyses of compact accreting systems.
Results: Discrete sampling, binning and finite light curve duration cause the mean of the time-lag estimates to have a smaller magnitude than their intrinsic values. Smoothing (I.e. binning over consecutive frequencies) of the cross-periodogram can add extra bias at low frequencies. The use of light curves with low signal-to-noise ratio reduces the intrinsic coherence, and can introduce a bias to the sample coherence, time-lag estimates, and their predicted error.
Conclusions: Our results have direct implications for X-ray time-lag studies in AGN, but can also be applied to similar studies in other research fields. We find that: a) time-lags should be estimated at frequencies lower than ≈ 1/2 the Nyquist frequency to minimise the effects of discrete binning of the observed time series; b) smoothing of the cross-periodogram should be avoided, as this may introduce significant bias to the time-lag estimates, which can be taken into account by assuming a model cross-spectrum (and not just a model time-lag spectrum); c) time-lags should be estimated by dividing observed time series into a number, say m, of shorter data segments and averaging the resulting cross-periodograms; d) if the data segments have a duration ≳ 20 ks, the time-lag bias is ≲15% of its intrinsic value for the model cross-spectra and power-spectra considered in this work. This bias should be estimated in practise (by considering possible intrinsic cross-spectra that may be applicable to the time-lag spectra at hand) to assess the reliability of any time-lag analysis; e) the effects of experimental noise can be minimised by only estimating time-lags in the frequency range where the sample coherence is larger than 1.2/(1 + 0.2m). In this range, the amplitude of noise variations caused by measurement errors is smaller than the amplitude of the signal's intrinsic variations. As long as m ≳ 20, time-lags estimated by averaging over individual data segments have analytical error estimates that are within 95% of the true scatter around their mean, and their distribution is similar, albeit not identical, to a Gaussian.