Estimating the Covariance and Spectral Density Functions from a Clipped Stationary Time Series
D. R. McNeil · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1967
Summary When estimating the covariance functions of a stationary time series from a digitalized record, adjustments to the estimates must be made to correct for the bias caused by digitalizing. In this paper we investigate a method which provides consistent estimates of the covariance and the spectral density functions, and discuss their asymptotic efficiencies.