Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data
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Publication:3746732
DOI10.2307/2289007zbMath0607.62106OpenAlexW4239574864MaRDI QIDQ3746732
Publication date: 1986
Full work available at URL: https://doi.org/10.2307/2289007
predictionestimationmean squared errormissing observationsmaximum likelihoodmarginal likelihoodmodified Kalman filterdiffuse initial conditionsnon-stationary Gaussian autoregressive integrated moving average (ARIMA) time seriestransformation invariant likelihood
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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