A recursive approach for estimating missing observations in an univariate time series

DOI10.1080/03610929608831824zbMATH Open0900.62489OpenAlexW1971175034MaRDI QIDQ4337253FDOQ4337253

Jorge Martinez, Fabio H. Nieto

Publication date: 19 May 1997

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929608831824

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zbMATH Keywords

ARIMA modelsmissing observationsrecursive linear estimationminimum-mean-square error

Mathematics Subject Classification ID

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

Cites Work

• Time series: theory and methods.
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• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter
• Signal extraction from nonstationary time series
• Estimation, control, and the discrete Kalman filter
• A nonlinear time series model and estimation of missing observations
• Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data
• Exact likelihood of vector autoregressive-moving average process with missing or aggregated data
• A Note on the Estimation of Missing Values in Time Series
• Estimation of the interpolation error variance and an index of linear determinism

Cited In (7)

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• A nonlinear time series model and estimation of missing observations
• Sensitivity of the portmanteau statistic in time series modeling
• Recursive estimation procedures for missing-data problems
• Methodologies for the estimation of missing observations in time series

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