Hi,
I observe on a daily basis the realization of a random variable x on a
given history of N points in the past and I am interested in the
probability density function of the sum of x over a month (say 30 days).
To increase the size of my sample, I roll a window of width 30 each day
and collect (N-30+1) observations (instead of having N/30 independant
observations only). Obviously, the collected sums are highly correlated
and the PDF is distorted.
Does it exist a statistical correction to make in order to adjust the
distribution so it reflects better the reality?
Thank you very much,
Patrick
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