Non-parametric covariance estimation from irregularly-spaced data

DOI10.2307/1426985MaRDI QIDQ4746660zbMATH OpenOpenAlexFDO

Authors Elias Masry

Publication date 1983

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1426985

zbMATH Keywords

asymptotic normalityconvergence ratescovariance estimationirregularly-spaced dataPoisson point processquadratic-mean consistencyrandom sampling schemesstationary time series

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(14)

• On the asymptotic joint distribution of sample space-time covariance estimators
• Random sampling of continuous-parameter stationary processes: Statistical properties of joint density estimators
• Model fitting for continuous-time stationary processes from discrete-time data
• Spectral estimation of continuous-time stationary processes from random sampling
• Asymptotic properties of a nonparametric intensity estimator of a nonhomogeneous Poisson process
• Estimation of second-order properties from jittered time series
• On the theory of continuous time series
• The correct asymptotic variance for the sample mean of a homogeneous Poisson marked point process
• Optimal asymptotic quadratic error of nonparametric regression function estimates for a continuous-time process from sampled-data
• Strong consistency with rates of spectral estimation of continuous-time processes: from periodic and poisson sampling schemes
• Assessing Isotropy for Spatial Point Processes
• Inheritance of strong mixing and weak dependence under renewal sampling
• Non parametric estimation of smooth stationary covariance functions by interpolation methods
• Statistical inference on regression with spatial dependence

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