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SYMMETRIC STABLE SEQUENCES WITH MISSING OBSERVATIONS
Author(s) -
Nassiuma Dankit K.
Publication year - 1994
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.1467-9892.1994.tb00196.x
Subject(s) - mathematics , autoregressive model , missing data , variance (accounting) , statistics , dispersion (optics) , stationary process , value (mathematics) , econometrics , physics , accounting , optics , business
. A procedure for evaluating optimal linear estimates of missing values in the minimum dispersion sense is proposed for stationary symmetric stable processes. Analytical expressions for the estimates are obtained for the autoregressive moving‐average process and it is shown that the finite variance setting results are special cases. Cases of one and more than one missing value are considered.