Estimation of the autocovariance function with missing observations

Abstract

We propose a novel estimator of the autocorrelation function in presence of missing observations. We establish the consistency, the asymptotic normality, and we derive deviation bounds for various classes of weakly dependent stationary time series, including causal or non causal models. In addition, we introduce a modified version periodogram defined from these autocorrelation estimators and derive asymptotic distribution of linear functionals of this estimator.