RANDOM SAMPLING ESTIMATION FOR ALMOST PERIODICALLY CORRELATED PROCESSES

D. Dehay and V. Monsan

Journal of Time Series Analysis, 1996, vol. 17, issue 5, 425-445

Abstract: Abstract. In this paper we study the estimation of the spectral density functions of a continuous‐time parameter almost periodically correlated process from one discrete random‐time sampling. Under mixing hypotheses on the cumulant of the process, we establish the quadratic consistency of this estimator and the rate of convergence.

Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:17:y:1996:i:5:p:425-445

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