ESTIMATION AND INTERPOLATION OF MISSING VALUES OF A STATIONARY TIME SERIES Academic Article

abstract

• Abstract. A complete solution of the important problem of estimating (interpolating) the missing values of a stationary time series is obtained by decomposing it into a prediction plus regression problem. This makes it possible to estimate the missing values by finding the multistepahead predictors and using the existing computer packages for time series analysis. Such a solution is vital for the E step of the EM algorithm, and it is shown how this algorithm can be used to develop a simultaneous procedure for estimating the parameters and missing values of a time series. Copyright 1989, Wiley Blackwell. All rights reserved

authors

• Pourahmadi, Mohsen

published proceedings

• Journal of Time Series Analysis

author list (cited authors)

• Pourahmadi, M.

citation count

• 33

complete list of authors

• Pourahmadi, Mohsen

publication date

• March 1989

publisher

• Wiley  Publisher

published in

• Journal of Time Series Analysis  Journal

Digital Object Identifier (DOI)

• 10.1111/j.1467-9892.1989.tb00021.x

start page

• 149

end page

• 169

volume

• 10

issue

• 2

URL

• http://dx.doi.org/10.1111/j.1467-9892.1989.tb00021.x