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A note on autocovariance estimation in the presence of discrete spectra

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  • Houdré, Christian
  • Kedem, Benjamin

Abstract

We provide a necessary and sufficient condition for the almost sure convergence and the strong consistency of the sample autocovariance of a discrete spectrum weakly stationary process. This also clarifies the estimation of the autocovariance function of a mixed spectrum weakly stationary process.

Suggested Citation

  • Houdré, Christian & Kedem, Benjamin, 1995. "A note on autocovariance estimation in the presence of discrete spectra," Statistics & Probability Letters, Elsevier, vol. 24(1), pages 1-8, July.
    • Handle: RePEc:eee:stapro:v:24:y:1995:i:1:p:1-8
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    References listed on IDEAS

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    1. Kedem, Benjamin & Slud, Eric, 1994. "On autocorrelation estimation in mixed-spectrum Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 49(2), pages 227-244, February.
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