Asymptotic Properties of Spectral Estimates of Second-Order with Missed Observations | Science Publications

Journal of Mathematics and Statistics

A. E. El-Desokey¹  M. A. Ghazal¹  G. S. Mokaddis¹ 

关键词: Continuous time series;    modified periodogram;    spectral density;    spectral measure;    autocovariance;    data window and asymptotic normality;   

DOI  :  10.3844/jmssp.2010.10.16

学科分类：社会科学、人文和艺术（综合）

来源: Science Publications

【 摘 要 】

Problem statement: As a complement of the periodogram study the asymptotic properties of the spectral density using data window for stationary stochastic process are investigated. Some statistical properties of covariance estimation function with missing observations are studied. Approach: The asymptotic normality was discussed. A numerical example was discussed by using computer programming. Results: The study of time series with missed observations and with the modified periodogram had the same results of the study of the classic time series. Conclusion: Modified periodogram with expanded finite Fourier transformation for time series with missed observation has improved the results of the classic time series.

【 授权许可】

Unknown