The Second-Order Moments of the Sample Covariances for Time Series with Missing Observations

IEEE Transactions on Information Theory

Volumn 35, Issue 2, 1989, Pages 334-341

  Rosen, Yonina ^a   Porat, Boaz ^a  

^a TECHNION ISRAEL INSTITUTE OF TECHNOLOGY   (Israel)

Author keywords

[No Author keywords available]

Indexed keywords

PROBABILITY--RANDOM PROCESSES; SIGNAL FILTERING AND PREDICTION; SPECTRUM ANALYSIS;

ARMA TIME SERIES; ASYMPTOTIC SECOND-ORDER MOMENTS; DETERMINISTIC PERIODIC PATTERN; RANDOM BERNOULLI PATTERN; TIME SERIES WITH MISSING OBSERVATIONS;

STATISTICAL METHODS;

EID: 0024627949     PISSN: 00189448     EISSN: 15579654     Source Type: Journal    
DOI: 10.1109/18.32127     Document Type: Article

References (9)

1. T. W. Anderson, The Statistical Analysis of Time Series. New York: Wiley, 1971.
2. W. Dunsmuir and P. M. Robinson, “Asymptotic theory for time series containing missing and amplitude modulated observations,” Sankhya, Ser. A, vol. 43, part 3, pp. 260-281, 1981.
3. R. H. Jones, “Spectral analysis with regularly missed observations,” Ann. Math. Statist., vol. 33, pp. 455-461, 1962.
4. T. Kailath, A. Viera, and M. Morf, “Inverses of Toeplitz operators, innovations, and orthogonal polynomials,” SIAM Rev., vol. 20, no. 1, 1978.
5. R. J. Marshall, “Autocorrelation estimation of time series with randomly missing observations,” Biometrika, vol. 67, 3, pp. 567-70, 1980.
6. E. Parzen, “On spectral analysis with missing observations and amplitude modulation,” Sankhya, Ser. A, vol. 25, pp. 383-392, 1963.
7. P. S. Scheinok, “Spectral analysis with randomly missed observations: The binomial case,” Ann. Math. Statist., vol. 36, pp. 971-977, 1965.
8. Y. Rosen and B. Porat, “Optimal ARMA parameter estimation based on the sample covariances for data with missing observations,” IEEE Trans. Inform. Theory, this issue, pp. 342-349.
9. A. M. Walker, “Large sample estimation of parameters for autoregressive processes with moving average residual,” Biometrika, vol. 49, pp. 117-131, 1962.