When stationary time series is censored by another stationary time series , estimation of covariance and correlation coefficients of is studied in this paper. When is AR(p) process, parameter estimation and one-step prediction are given and shown to be strongly consistent. Simulation results show that the method works well.
He Shuyuan
, Li Rui
, Shen Junshan. , {{custom_author.name_en}}.
TIME SERIES ANALYSIS FOR RIGHT CENSORED DATA. Journal of Systems Science and Mathematical Sciences, 2007, 27(1): 20-26 https://doi.org/10.12341/jssms08751