EFFICIENT NON‐PARAMETRIC ESTIMATION OF THE SPECTRAL DENSITY IN THE PRESENCE OF MISSING OBSERVATIONS

DOI10.1111/jtsa.12072zbMath1311.62054OpenAlexW1921199673MaRDI QIDQ5176847

Sam Efromovich

Publication date: 4 March 2015

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12072

zbMATH Keywords

minimaxadaptationARMAMISEamplitude modulated

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (5)

ON THE CONSISTENCY OF THE LEAST SQUARES ESTIMATOR IN MODELS SAMPLED AT RANDOM TIMES DRIVEN BY LONG MEMORY NOISE: THE RENEWAL CASE ⋮ Spectral estimation in the presence of missing data ⋮ On Two‐Stage Estimation of the Spectral Density with Assigned Risk in Presence of Missing Data ⋮ Missing not at random and the nonparametric estimation of the spectral density ⋮ On sequential spectral analysis of amplitude-modulated time series

Cites Work

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• Moment bounds for stationary mixing sequences
• Data-Driven Efficient Estimation of the Spectral Density
• STRONG CONSISTENCY FOR AR MODEL WITH MISSING DATA
• Spectral Analysis with Randomly Missed Observations: The Binomial Case

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