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

DOI10.1080/03610929608831824MaRDI QIDQ4337253zbMATH OpenOpenAlexFDO

Authors Fabio H. Nieto, Jorge Martinez

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

zbMATH Keywords

ARIMA modelsminimum-mean-square errormissing observationsrecursive linear estimation

Mathematics Subject Classification ID

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

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Cites work

• A nonlinear time series model and estimation of missing observations
• A Note on the Estimation of Missing Values in Time Series
• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Estimation of the interpolation error variance and an index of linear determinism
• Estimation, control, and the discrete Kalman filter
• Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data
• Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter
• Exact likelihood of vector autoregressive-moving average process with missing or aggregated data
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• Signal extraction from nonstationary time series
• Time series: theory and methods.

Cited in

(9)

• Methodologies for the estimation of missing observations in time series
• A nonlinear time series model and estimation of missing observations
• Recursive estimation procedures for missing-data problems
• Prediction of missing observations by a control method
• scientific article; zbMATH DE number 4151671 (Why is no real title available?)
• scientific article; zbMATH DE number 4076391 (Why is no real title available?)
• scientific article; zbMATH DE number 1302962 (Why is no real title available?)
• scientific article; zbMATH DE number 2042274 (Why is no real title available?)
• Sensitivity of the portmanteau statistic in time series modeling

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