Estimation of the spectral measure, covariance and spectral density functions of a strictly stationary r-vector valued time series is considered, under the assumption that some of the observations are missed. The modified periodograms are calculated u...
Estimation of the spectral measure, covariance and spectral density functions of a strictly stationary r-vector valued time series is considered, under the assumption that some of the observations are missed. The modified periodograms are calculated using data window. The asymptotic normality is studied.