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On the theory of continuous time series

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  • A. Elhassanein

    (Damanhour University)

Abstract

This paper considers spectral estimation for a zero-mean strictly stationary r-vector valued continuous time series. The case of interest is when some of observations are missing due to some random failure. Spectral estimation procedures are developed in disjoint segments of observations. Expanded finite Fourier transform, modified poriodogram and spectral density statistics are constructed. The theoretical properties of these estimators are developed. Asymptotic distributions are discussed

Suggested Citation

  • A. Elhassanein, 2014. "On the theory of continuous time series," Indian Journal of Pure and Applied Mathematics, Springer, vol. 45(3), pages 297-310, June.
    • Handle: RePEc:spr:indpam:v:45:y:2014:i:3:d:10.1007_s13226-014-0064-9
    DOI: 10.1007/s13226-014-0064-9
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    References listed on IDEAS

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    1. Jiancheng Jiang & Y. Hui, 2004. "Spectral density estimation with amplitude modulation and outlier detection," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 56(4), pages 611-630, December.
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