ESTIMATION AND INTERPOLATION OF MISSING VALUES OF A STATIONARY TIME SERIES

DOI10.1111/J.1467-9892.1989.TB00021.XMaRDI QIDQ4204971zbMATH OpenOpenAlexFDO

Authors M. Pourahmadi

Publication date 1989

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1989.tb00021.x

zbMATH Keywords

stationary time seriesEM-algorithmautoregressive processmoving-average processinterpolating missing valuesmultistep-ahead predictorsprediction plus regression problem

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 4088699 (Why is no real title available?)
• A Duality Between Autoregressive and Moving Average Processes Concerning Their Least Squares Parameter Estimates
• A matricial extension of the Helson-Szegö theorem and its application in multivariate prediction
• Best Approximations in L^p (d μ) and Prediction Problems of Szegö, Kolmogorov, Yaglom, and Nakazi
• Inverse Autocorrelations
• Linear Statistical Inference and its Applications
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• The Inverse Autocorrelations of a Time Series and Their Applications
• The prediction theory of multivariate stochastic processes. III: Unbounded spectral densities

Cited in

(37)

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• Asymptotic theory of parameter estimation by a contrast function based on interpolation error
• A time series bootstrap procedure for interpolation intervals
• scientific article; zbMATH DE number 3999067 (Why is no real title available?)
• scientific article; zbMATH DE number 7734381 (Why is no real title available?)
• A Note on the Estimation of Missing Values in Time Series
• Time series interpolation via global optimization of moments fitting
• A single-index model procedure for interpolation intervals in time series
• L₁ linear interpolator for missing values in time series
• Application of structured low-rank approximation methods for imputing missing values in time series
• Optimization methods in time series interpolation
• Prediction of stationary Gaussian random fields with incomplete quarterplane past
• Some prediction problems for stationary random fields with quarter-plane past
• Kernel estimation and interpolation for time series containing missing observations
• scientific article; zbMATH DE number 3945194 (Why is no real title available?)
• scientific article; zbMATH DE number 1885966 (Why is no real title available?)
• Imputation-based semiparametric estimation for INAR(1) processes with missing data
• Maximum likelihood estimation of the \(\mathrm{VAR}(1)\) model parameters with missing observations
• Impact of missing data on the prediction of random fields
• Cuckoo search-designated fractal interpolation functions with winner combination for estimating missing values in time series
• Prediction of random fields with incomplete quarter-plane past
• Optimal linear interpolation of multiple missing values
• Inverse autocovariance estimates
• A wavelet-based approach for imputation in nonstationary multivariate time series
• Influence of Missing Values on the Prediction of a Stationary Time Series
• Duals of random vectors and processes with applications to prediction problems with missing values
• Comparison of Two Estimation Methods of Missing Values Using Pitman-Closeness Criterion
• Analysis of tidal data and datums: accessible examples of harmonic modeling with autocorrelation and imputation
• scientific article; zbMATH DE number 3890574 (Why is no real title available?)
• On the estimation of missing initial autocorrelation coefficients
• Grey interpolation reasoning approach for missing values in series data
• Nonparametric estimation of missing values in time series
• Seasonal time-series imputation of gap missing algorithm (STIGMA)
• An optimal prediction in stationary random fields based on a new interpolation approach

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