Time series with Poisson point process

Abstract

A transformation based on irregular data in r-dimension is considered in Poisson case. Second order moments are calculated. The behavior of the cross-covariance and dispersion are investigated. Limiting distribution for the suggested transformation is derived. Estimates of the mean and the cross-covariance function are defined. Moments and asymptotic behavior of the mean estimate and cross-covariance estimate is discussed. © 2003 Elsevier Inc. All rights reserved.