The Annals of Statistics

On Unequally Spaced Time Points in Time Series

William Clinger and John W. Van Ness

Full-text: Open access

Abstract

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.

Article information

Source
Ann. Statist. Volume 4, Number 4 (1976), 736-745.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176343545

Digital Object Identifier
doi:10.1214/aos/1176343545

Mathematical Reviews number (MathSciNet)
MR478514

Zentralblatt MATH identifier
0351.62066

JSTOR
links.jstor.org

Subjects
Primary: 62M15: Spectral analysis
Secondary: 62M10: Time series, auto-correlation, regression, etc. [See also 91B84]

Keywords
Time series spectral analysis missing observations autocorrelation autocovariance covariance sequence unequally spaced samples

Citation

Clinger, William; Ness, John W. Van. On Unequally Spaced Time Points in Time Series. Ann. Statist. 4 (1976), no. 4, 736--745. doi:10.1214/aos/1176343545. https://projecteuclid.org/euclid.aos/1176343545.


Export citation