Theory of Probability and Mathematical Statistics
Spectral estimation in the presence of missing data
Natalia Bahamonde, Paul Doukhan
Abstract: In this article we propose a quasi-Whittle estimator for parametric families of time series models in the presence of missing data. This estimator extends results to the incompletely observed case. This extension is valid to non-Gaussian and non-linear models. It also allows to bound the variance of an associated quasiperiodogramm. A simulation study validates empirically the proposed estimate for mixing and non-mixing models.
Keywords: Limit theorems, Time Series, Auto Correlation, Whittle estimator, Weakly dependent
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