Methodologies for the estimation of missing observations in time series
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Publication:1081262
DOI10.1016/0167-7152(87)90028-9zbMath0601.62109MaRDI QIDQ1081262
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
ARMA; stationary time series; Kalman-Bucy filter; autoregressive-moving average; estimation of missing observations; PEM algorithm; pseudo-expectation maximization
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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Cites Work