Methodologies for the estimation of missing observations in time series

DOI10.1016/0167-7152(87)90028-9MaRDI QIDQ1081262zbMATH OpenOpenAlexFDO

Authors Osvaldo Ferreiro

Publication date 1987

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(87)90028-9

zbMATH Keywords

ARMAautoregressive-moving averageestimation of missing observationsKalman-Bucy filterPEM algorithmpseudo-expectation maximizationstationary time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

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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Cites work

• scientific article; zbMATH DE number 3890574 (Why is no real title available?)
• scientific article; zbMATH DE number 3179103 (Why is no real title available?)
• scientific article; zbMATH DE number 3679014 (Why is no real title available?)
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations

Cited in

(14)

• A nonlinear time series model and estimation of missing observations
• Spectral modeling of time series with missing data
• Missing data in time series: a note on the equivalence of the dummy variable and the skipping approaches
• Missing Data Methods: Time-Series Methods and Applications
• Graphical and phase space models for univariate time series
• Missing Values Resampling for Time Series
• A Note on the Estimation of Missing Values in Time Series
• scientific article; zbMATH DE number 4151671 (Why is no real title available?)
• Estimation in a Linear Model with Serially Correlated Errors When Observations are Missing
• scientific article; zbMATH DE number 4005393 (Why is no real title available?)
• ESTIMATION AND INTERPOLATION OF MISSING VALUES OF A STATIONARY TIME SERIES
• Optimization methods in time series interpolation
• A recursive approach for estimating missing observations in an univariate time series
• Influence of Missing Values on the Prediction of a Stationary Time Series

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