Spectral modeling of time series with missing data

DOI10.1016/J.APM.2012.09.040MaRDI QIDQ1667751zbMATH OpenOpenAlexWikidataFDO

Authors Miguel De Carvalho, Paulo Canas Rodrigues

Publication date 30 August 2018

Published in Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.apm.2012.09.040

zbMATH Keywords

missing datatime series analysissingular spectrum analysis[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Karhunen-Lo%EF%BF%BD%EF%BF%BDve+decomposition&go=Go Karhunen-Lo��ve decomposition]

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 3599198 (Why is no real title available?)
• scientific article; zbMATH DE number 1104922 (Why is no real title available?)
• Analysis of time series structure. SSA and related techniques
• Extracting qualitative dynamics from experimental data
• Karhunen-Loeve Analysis of Historical Time Series With an Application to Plantation Births in Jamaica
• On the Eigenvalues of a Class of Integral Equations Arising in Laser Theory
• Singular spectrum analysis in nonlinear dynamics, with applications to paleoclimatic time series
• The ``Caterpillar-SSA method for analysis of time series with missing values
• Time series analysis. Forecasting and control

Cited in

(16)

• Randomized singular spectrum analysis for long time series
• scientific article; zbMATH DE number 4088784 (Why is no real title available?)
• Autoregressive spectral analysis when observations are missing
• Improved interpolation method based on singular spectrum analysis iteration and its application to missing data recovery
• Simple nuclear norm based algorithms for imputing missing data and forecasting in time series
• A wavelet-based approach for imputation in nonstationary multivariate time series
• A method for fast and robust sungular spectrum analysis
• The benefits of multivariate singular spectrum analysis over the univariate version
• Data-driven reconstruction of nonlinear dynamics from sparse observation
• The ``Caterpillar-SSA method for analysis of time series with missing values
• Spectral estimation for locally stationary time series with missing observations
• scientific article; zbMATH DE number 4005393 (Why is no real title available?)
• Spectral estimation in the presence of missing data
• Seasonal time-series imputation of gap missing algorithm (STIGMA)
• ARMA spectral estimation of time series with missing observations
• Weighted norms in subspace-based methods for time series analysis.

Describes a project that uses

Uses Software

• Amelia
• zoo
• CaterpillarSSA
• boot

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