This article discusses the sampling of stationary discrete-time stochastic processes at fixed but unequally spaced time points. The pattern of the sampling times is periodic with a cycle of $p$ time units. One of the major problems is to determine given $p$ the minimum number of sampling points required per cycle in order to estimate the covariances at all lags. The second problem is to find a pattern of distribution for the sampling points within the cycle which will allow the estimation of all covariances. A discussion of the references which describe the statistical properties of the estimates of covariances and spectra in this sampling situation is given.
Publié le : 1976-07-14
Classification:
Time series,
spectral analysis,
missing observations,
autocorrelation,
autocovariance,
covariance sequence,
unequally spaced samples,
62M15,
62M10
@article{1176343545,
author = {Clinger, William and Ness, John W. Van},
title = {On Unequally Spaced Time Points in Time Series},
journal = {Ann. Statist.},
volume = {4},
number = {1},
year = {1976},
pages = { 736-745},
language = {en},
url = {http://dml.mathdoc.fr/item/1176343545}
}
Clinger, William; Ness, John W. Van. On Unequally Spaced Time Points in Time Series. Ann. Statist., Tome 4 (1976) no. 1, pp. 736-745. http://gdmltest.u-ga.fr/item/1176343545/