A note on prediction and interpolation errors in time series

DOI10.1016/J.SPL.2005.03.014zbMATH Open1077.62075OpenAlexW1984039880MaRDI QIDQ2573992FDOQ2573992

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

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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)

Cites Work

• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter
• Title not available (Why is that?)

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