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ESTIMATION AND INTERPOLATION OF MISSING VALUES OF A STATIONARY TIME SERIES
Author(s) -
Pourahmadi Mohsen
Publication year - 1989
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1989.tb00021.x
Subject(s) - missing data , series (stratigraphy) , mathematics , interpolation (computer graphics) , time series , statistics , algorithm , computer science , artificial intelligence , motion (physics) , paleontology , biology
. 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 multistep‐ahead 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.