Forecasting with incomplete data

DOI10.1080/03610929508831551MaRDI QIDQ4883443zbMATH OpenOpenAlexFDO

Authors

Publication date 4 July 1996

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929508831551

zbMATH Keywords

forecastingKalman filter algorithmmissing observationsstate space representation

Mathematics Subject Classification ID

Bayesian inference (62F15) Inference from stochastic processes and prediction (62M20)

Cites work

• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• Covariance matrix computation of the state variable of a stationary Gaussian process
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• Some new algorithms for recursive estimation in constant, linear, discrete-time systems

Cited in

(1)

• An Adaptive Extended Kalman Filter with Application to Compartment Models

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