Prediction with incomplete past and interpolation of missing values

DOI10.1016/S0167-7152(96)00146-0zbMath0899.62121OpenAlexW2050462856MaRDI QIDQ1380608

R. Cheng, Mohsen Pourahmadi

Publication date: 8 March 1998

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

Full work available at URL: https://doi.org/10.1016/s0167-7152(96)00146-0

zbMATH Keywords

predictionstationary time seriesautoregressive parametersgeneralized innovation algorithmvariance of errors

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Related Items (10)

Impact of missing data on the prediction of random fields ⋮ An optimal prediction in stationary random fields based on a new interpolation approach ⋮ Prediction of random fields with incomplete quarter-plane past ⋮ On linear prediction for stationary random fields with nonsymmetrical half-plane past ⋮ Optimal linear interpolation of multiple missing values ⋮ Some prediction problems for stationary random fields with quarter-plane past ⋮ Prediction with incomplete past of a stationary process. ⋮ Influence of Missing Values on the Prediction of a Stationary Time Series ⋮ Filtering of multidimensional stationary sequences with missing observations ⋮ Prediction of stationary Gaussian random fields with incomplete quarterplane past

Cites Work

• Unnamed Item
• On a relationship between the inverse of a stationary covariance matrix and the linear interpolator
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• Alternating projections and interpolation of stationary processes
• ESTIMATION AND INTERPOLATION OF MISSING VALUES OF A STATIONARY TIME SERIES

This page was built for publication: Prediction with incomplete past and interpolation of missing values