The second-order moments of the sample covariances for time series with missing observations

DOI10.1109/18.32127zbMath0672.62094OpenAlexW2158849324MaRDI QIDQ3825975

Boaz Porat, Yonina Rosen

Publication date: 1989

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/18.32127

zbMATH Keywords

missing observationsClosed-form expressionssample covariancesasymptotic second-order momentsautoregressive moving-average (ARMA) time seriesdeterministic periodic pattern of missing observationsestimation of the covariances of stationary time seriesrandom Bernoulli patternspectrum estimation algorithms

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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