Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data
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Publication:3746732
DOI10.2307/2289007zbMath0607.62106MaRDI QIDQ3746732
Publication date: 1986
Full work available at URL: https://doi.org/10.2307/2289007
prediction; estimation; mean squared error; missing observations; maximum likelihood; marginal likelihood; modified Kalman filter; diffuse initial conditions; non-stationary Gaussian autoregressive integrated moving average (ARIMA) time series; transformation invariant likelihood
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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