Estimating the Covariance and Spectral Density Functions from a Clipped Stationary Time Series
从削波平稳时间序列估计协方差与谱密度函数
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.