IJPAM: Volume 16, No. 4 (2004)
Department of Mathematics
Seoul, 120-749, KOREA
Abstract.This paper is concerned with the normality of the estimators of the autocovariance function and the spectral density function for the autoregressive process in the case where only an amplitude modulated process with missing data is observed. These results will give a simple and practical sufficient condition for the normality of those estimators.
Received: September 20, 2004
AMS Subject Classification: 40A99
Key Words and Phrases: AR model, normality of the estimators, stationary autoregressive process of order
Source: International Journal of Pure and Applied Mathematics