Estimating the covariance and spectral density functions from a clipped stationary time series

Research output: Contribution to journalArticle

Abstract

When estimating the covariance functions of a stationary time series from a digitalized record, adjustments to the estimates must be made to correct for the bias caused by digitalizing. In this paper we investigate a method which provides consistent estimates of the covariance and the spectral density functions, and discuss their asymptotic efficiencies.
Original languageEnglish
Pages (from-to)180-195
Number of pages16
JournalJournal of the Royal Statistical Society. Series B: Statistical Methodology
Volume29
Issue number1
DOIs
Publication statusPublished - Jan 1967
Externally publishedYes

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