Fitting autoregression with regularly missed observations

DOI10.1007/BF02480344MaRDI QIDQ1150985zbMATH OpenOpenAlexFDO

Authors Hideaki Sakai

Publication date 1980

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

Full work available at URL https://doi.org/10.1007/bf02480344

zbMATH Keywords

frequency domainasymptotic error covariance matrixfitting autoregressionregularly missed observations

Mathematics Subject Classification ID

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

Cites work

• scientific article; zbMATH DE number 3486885 (Why is no real title available?)
• scientific article; zbMATH DE number 3502569 (Why is no real title available?)
• scientific article; zbMATH DE number 3221815 (Why is no real title available?)
• scientific article; zbMATH DE number 3347556 (Why is no real title available?)
• Extending the Frequency Range of Spectrum Estimates by the Use of Two Data Recorders
• On the relation between fitting autoregression and periodogram with applications
• Spectral Analysis with Randomly Missed Observations: The Binomial Case
• Spectral Analysis with Regularly Missed Observations
• Spectrum estimation with missing observations
• Statistical predictor identification

Cited in

(6)

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

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