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Spectrum estimation with regularly missed observations

Spectrum estimation with regularly missed observations

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Jones and Parzen have studied the problem of spectral analysis of stationary normal time series with missing observations. The letter presents an alternative procedure which applies to nonnormal series as well. This procedure consists in extrapolating the observed samples into the missed-samples interval, and thereby estimating the new autocovariance and spectral-density functions.

References

    1. 1)
      • A.M. Yaglom . , An introduction to the theory of stationary random functions.
    2. 2)
      • R.H. Jones . Spectral analysis with regularly missed observations. Ann. Math. Statist. , 455 - 461
    3. 3)
      • E. Parzen . On spectral analysis with missing observations and amplitude modulation. Sankhya , 383 - 392
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