Autocorrelation estimation of time series with randomly missing observations

DOI10.1093/BIOMET/67.3.567MaRDI QIDQ3885020zbMATH OpenOpenAlexWikidataFDO

Authors Roger Marshall

Publication date 1980

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/67.3.567

zbMATH Keywords

approximate formulaeautocorrelation estimation of time seriesBartlett formulaeBernoulli modelbiascovariancefourth cumulantGaussian processlinear processMarkov chainmoving averagerandomly missing observations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(5)

• Matrix representations of spectral coefficients of randomly sampled ARMA models
• Statistical analysis for stationary time processes with irregular observations
• Un algoritmo iterativo para la estimacion de modelos arma con ausencia de observaciones
• Tests of periodicity with missing observations
• Spectrum of randomly sampled multivariate \textsl{ARMA} models.

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