Non-parametric covariance estimation from irregularly-spaced data
- 1 March 1983
- journal article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 15 (1) , 113-132
- https://doi.org/10.2307/1426985
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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