Forecasting time series with missing data using Holt's model

DOI10.1016/J.JSPI.2009.01.004MaRDI QIDQ1022012zbMATH OpenOpenAlexFDO

Authors Ana Corberán-Vallet, J. D. Bermúdez, E. Vercher

Publication date 9 June 2009

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2009.01.004

zbMATH Keywords

data transformationEM algorithmforecastinglinear modelexponential smoothing

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 4020230 (Why is no real title available?)
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• A Limited Memory Algorithm for Bound Constrained Optimization
• A decision support system methodology for forecasting of time series based on soft computing
• A spreadsheet modeling approach to the Holt-Winters optimal forecasting
• Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models
• Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data
• Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter
• Holt-Winters Method with Missing Observations
• Holt-Winters forecasting: an alternative formulation applied to UK air passenger data
• Improving demand forecasting accuracy using nonlinear programming software
• Kalman filter with outliers and missing observations
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• Missing observations in ARIMA models: Skipping approach versus additive outlier approach
• On the convergence properties of the EM algorithm
• SIOPRED: a prediction and optimisation integrated system for demand
• Sequential Monte Carlo Methods for Dynamic Systems

Cited in

(3)

• Multi-step prediction of time series with random missing data
• Forecasting with full use of data without interpolation on logistic curve model with missing data
• Forecasting estimated missing time series data

Describes a project that uses

Uses Software

• LBFGS-B
• R

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