Fitting autoregression with regularly missed observations

DOI10.1007/BF02480344zbMath0456.62071MaRDI QIDQ1150985

Hideaki Sakai

Publication date: 1980

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

frequency domain; asymptotic error covariance matrix; fitting autoregression; regularly missed observations

Mathematics Subject Classification ID

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

Related Items

Tests of periodicity with missing observations, Likelihood ratio type unit root tests for ar(1)models with nonconsecutive observations, TESTING FOR A UNIT ROOT IN AN AR(1) TIME SERIES USING IRREGULARLY OBSERVED DATA, Least squares estimation of ARCH models with missing observations, Kernel estimation and interpolation for time series containing missing observations, Fixed-order optimal deconvolution filter with irregular missing data

Cites Work

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• Spectral Analysis with Regularly Missed Observations