A note on prediction and interpolation errors in time series

DOI10.1016/J.SPL.2005.03.014MaRDI QIDQ2573992zbMATH OpenOpenAlexFDO

Authors Pedro Galeano, Daniel Peña

Publication date 25 November 2005

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

Full work available at URL https://doi.org/10.1016/j.spl.2005.03.014

zbMATH Keywords

Kalman filterprediction errorinterpolation errorARMA processfixed-point smoothing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 44406 (Why is no real title available?)
• Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations

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