Premium
Influence of Missing Values on the Prediction of a Stationary Time Series
Author(s) -
Bondon Pascal
Publication year - 2005
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.1467-9892.2005.00433.x
Subject(s) - mathematics , series (stratigraphy) , missing data , statistics , mean squared prediction error , variance (accounting) , time series , simple (philosophy) , long memory , stationary process , econometrics , volatility (finance) , paleontology , philosophy , accounting , epistemology , business , biology
. The influence of missing observations on the linear prediction of a stationary time series is investigated. Simple bounds for the prediction error variance and asymptotic behaviours for short and long‐memory processes respectively are presented.