Discrete Samples and Moving Sums in Stationary Stochastic Processes
平稳随机过程中的离散抽样与移动和
Assume that an autoregression generates the basic data but that the observations are an equi-spaced sample of moving sums of the basic data for non-overlapping discrete intervals. Simple least squares estimates of the underlying autoregression are not consistent. It is shown that it is possible to estimate consistently the coefficients of the underlying autoregression based on the equi-spaced sample. These results are equivalent to showing how to interpolate a finite number…