Analysis Method for Correlation Coefficient Stationary Series with Unequally Spaced Data

The idea of correlation coefficient stationary series with unequally spaced data is presented and the pth order autoregressive model for the correlation coefficient stationary series with unequally spaced data is established.The exact maximum likelihood estimations and the conditional maximum likelihood estimations of their parameters are given in detail.Unequally spaced time series is common in engineering when the observation is irregular. The traditional time series analysis method is only suitable to equally spaced data and the approximate analysis methods for unequally spaced data, such as interpolation method,may cause big error.By employing the present method, the mean function,the variance function and the correlation coefficient function of unequally spaced time series can be calculated with high precision.