Nonparametric Spectral Analysis of Continuous Time Series
Mohamed A. Ghazal, Ahmed Elhassanein · Bulletin of satistics and economics · 2007
Spectral analysis of a strictly stationary r-vector valued continuous time series is considered under the assumption that some of the observations are missed due to some random failure. Conditions are found under which asymptotically unbiased and consistent estimations of spectral measures, covariances and spectral densities of the observed series are possible. The asymptotic normality is discussed.