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July, 1976 On Unequally Spaced Time Points in Time Series
William Clinger, John W. Van Ness
Ann. Statist. 4(4): 736-745 (July, 1976). DOI: 10.1214/aos/1176343545

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.

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William Clinger. John W. Van Ness. "On Unequally Spaced Time Points in Time Series." Ann. Statist. 4 (4) 736 - 745, July, 1976. https://doi.org/10.1214/aos/1176343545

Information

Published: July, 1976
First available in Project Euclid: 12 April 2007

zbMATH: 0351.62066
MathSciNet: MR478514
Digital Object Identifier: 10.1214/aos/1176343545

Subjects:
Primary: 62M15
Secondary: 62M10

Keywords: Autocorrelation , autocovariance , covariance sequence , missing observations , spectral analysis , time series , unequally spaced samples

Rights: Copyright © 1976 Institute of Mathematical Statistics

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Vol.4 • No. 4 • July, 1976
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