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

D. R. McNeil

doi:10.1111/j.2517-6161.1967.tb00687.x

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

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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 language	English
Pages (from-to)	180-195
Number of pages	16
Journal	Journal of the Royal Statistical Society. Series B: Statistical Methodology
Volume	29
Issue number	1
DOIs	https://doi.org/10.1111/j.2517-6161.1967.tb00687.x
Publication status	Published - Jan 1967
Externally published	Yes

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title = "Estimating the covariance and spectral density functions from a clipped stationary time series",

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.",

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JO - Journal of the Royal Statistical Society. Series B: Statistical Methodology

JF - Journal of the Royal Statistical Society. Series B: Statistical Methodology

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

Abstract

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