A note on autocovariance estimation in the presence of discrete spectra

Christian Houdré and Benjamin Kedem

Statistics & Probability Letters, 1995, vol. 24, issue 1, 1-8

Abstract: We provide a necessary and sufficient condition for the almost sure convergence and the strong consistency of the sample autocovariance of a discrete spectrum weakly stationary process. This also clarifies the estimation of the autocovariance function of a mixed spectrum weakly stationary process.

Keywords: Mixed; spectrum; SLLN; Stationary; Sample; covariance; Almost; sure; Amplitude; Phase; Zero-crossing; rate (search for similar items in EconPapers)
Date: 1995
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