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.
|Number of pages||16|
|Journal||Journal of the Royal Statistical Society. Series B: Statistical Methodology|
|Publication status||Published - Jan 1967|