Methodologies for the estimation of missing observations in time series (Q1081262): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1016/0167-7152(87)90028-9 / rank | |||
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| Property / cites work: Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations / rank | |||
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Latest revision as of 15:09, 17 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Methodologies for the estimation of missing observations in time series |
scientific article |
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Methodologies for the estimation of missing observations in time series (English)
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1987
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The article discusses different alternatives for the estimation of missing observations in stationary time series following autoregressive- moving average (ARMA) models. The occurrence of missing observations is quite common in time series and in many cases it is important to estimate them. The article offers an array of estimation alternatives to help the practitioner.
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Kalman-Bucy filter
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PEM algorithm
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pseudo-expectation maximization
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estimation of missing observations
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stationary time series
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autoregressive-moving average
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ARMA
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