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The second-order moments of the sample covariances for time series with missing observations

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2 Author(s)
Rosen, Y. ; Dept. of Electr. Eng., Technion-Israel Inst. of Technol., Haifa, Israel ; Porat, B.

The estimation of the covariances of a stationary time series with missing observations is considered. General formulas for the asymptotic second-order moments of the sample covariances of such a time series are given for either random or deterministic patterns of misses. Closed-form expressions are derived for the random Bernoulli pattern and for the deterministic periodic pattern of missing observations and are explicitly evaluated for autoregressive moving-average time series. These results are useful for constructing and analyzing parameter or spectrum estimation algorithms based on the sample covariances for a stationary time series with missing observations

Published in:

Information Theory, IEEE Transactions on  (Volume:35 ,  Issue: 2 )

Date of Publication:

Mar 1989

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