Estimation of the interpolation error variance and an index of linear determinism

DOI10.1093/biomet/74.4.771zbMath0634.62088OpenAlexW2168033192MaRDI QIDQ3773127

No author found.

Publication date: 1987

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/74.4.771

zbMATH Keywords

time seriesstationary processsimulation studyinterpolation erroroutlier detectionfinite sample behaviourinverse covariance functionwindow estimatorsconditional autoregressive processabsolutely summable covariance functionautoregressive estimatorsbilateral autoregressive processindex of linear determinismminimum squared error linear interpolatornonvanishing spectral densitysimultaneous autoregressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items

Optimization methods in time series interpolation, A Note on the Estimation of Missing Values in Time Series, A recursive approach for estimating missing observations in an univariate time series, Estimating the inverse autocorrelation function from outlier contaminated data, Portmanteau tests based on quadratic forms in the autocorrelations, The Variance Profile, ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R²MEASURE BY AUTOREGRESSIVE MODEL FITTING