Non-parametric covariance estimation from irregularly-spaced data

1 March 1983

journal article
research article
Published by Cambridge University Press (CUP) in Advances in Applied Probability

Vol. 15 (01) , 113-132
https://doi.org/10.1017/s0001867800021029

Abstract

The non-parametric discrete-time estimation of the covariance function R(t) of stationary continuous-time processes is considered. The characteristics of the sampling instants necessary for the consistent estimation of R(t) are explored. A class of covariance estimates is introduced and its asymptotic statistics are derived.

Keywords

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