TITLE:
Spectral Density Estimation of Continuous Time Series
AUTHORS:
Ahmed Elhassanein
KEYWORDS:
Joint Segments of Observations, Modified Periodograms, Spectral Density Matrix, Wishart Matrix
JOURNAL NAME:
Applied Mathematics,
Vol.7 No.17,
November
17,
2016
ABSTRACT: This paper studies spectral density
estimation of a strictly stationary r-vector valued continuous time series
including missing observations. The finite Fourier transform is constructed in
L-joint segments of observations. The modified periodogram is defined and
smoothed to estimate the spectral density matrix. We explore the properties of
the proposed estimator. Asymptotic distribution is discussed.