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

Author

Rosen, Yonina ; Porat, Boaz

Author_Institution

Dept. of Electr. Eng., Technion-Israel Inst. of Technol., Haifa, Israel

Volume

35

Issue

2

fYear

1989

fDate

3/1/1989 12:00:00 AM

Firstpage

334

Lastpage

341

Abstract

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

Keywords

information theory; parameter estimation; spectral analysis; time series; ARMA; asymptotic second-order moments; autoregressive moving-average time series; closed form expressions; deterministic periodic pattern; missing observations; parameter estimation; random Bernoulli pattern; sample covariances; spectrum estimation; stationary time series; time series; Algorithm design and analysis; Parameter estimation; Spectral analysis; Time measurement; Time series analysis;

fLanguage

English

Journal_Title

Information Theory, IEEE Transactions on

Publisher

ieee

ISSN

0018-9448

Type

jour

DOI

10.1109/18.32127

Filename

32127