Estimation of a time series model from unequally spaced data

DOI10.1016/0304-4149(77)90013-8zbMath0363.62071OpenAlexW1966369487MaRDI QIDQ1240510

Peter M. Robinson

Publication date: 1977

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(77)90013-8

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items

YULE‐WALKER ESTIMATES FOR CONTINUOUS‐TIME AUTOREGRESSIVE MODELS ⋮ Correlation testing in time series, spatial and cross-sectional data ⋮ Quantifying Model Uncertainties in Complex Systems ⋮ ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS ⋮ Likelihood ratio type unit root tests for ar(1)models with nonconsecutive observations ⋮ On some sampling schemes for estimating the parameters of a continuous time series ⋮ Spatial long memory ⋮ A central limit theorem for estimation in Gaussian stationary time series observed at unequally spaced times ⋮ TESTING FOR A UNIT ROOT IN AN AR(1) TIME SERIES USING IRREGULARLY OBSERVED DATA ⋮ Non-nested testing of spatial correlation ⋮ Model fitting for continuous-time stationary processes from discrete-time data ⋮ Asymptotic theory for nonparametric regression with spatial data ⋮ Finite sample performance of density estimators from unequally spaced data

Cites Work

• On consistency in time series analysis
• Spectrum estimation with missing observations
• Martingale Central Limit Theorems
• Estimation of the mean of a stationary time series by sampling
• Spectral Analysis with Regularly Missed Observations
• Unnamed Item
• Unnamed Item