Spectral Estimation with Random Truncation
Spectral Estimation with Random Truncation
Let $f(\omega), -\pi \leqq \omega \leqq \pi$ be the spectral density function of a discrete coordinate real-valued time series, stationary to order four. Assume that the covariance function $r(k)$ is such that $-\log r^2(k) \sim Ck^\gamma$, and $-\log(r^2(k + 1)/r^2(k)) \sim C_\gamma k^{\gamma-1}$, as $k \rightarrow \infty$, for some $C, …