Influence of Missing Values on the Prediction of a Stationary Time Series

DOI10.1111/j.1467-9892.2005.00433.xzbMath1091.62094MaRDI QIDQ5467615

Pascal Bondon

Publication date: 24 May 2006

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00433.x

zbMATH Keywords

asymptotic behaviour; prediction theory; long-memory processes; missing value problem

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

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

Related Items

Estimation error for blind Gaussian time series prediction, Duals of random vectors and processes with applications to prediction problems with missing values, Assessing influence in Gaussian long-memory models, Prediction of stationary Gaussian random fields with incomplete quarterplane past, Some prediction problems for stationary random fields with quarter-plane past

Cites Work

• Methodologies for the estimation of missing observations in time series
• Time series: theory and methods.
• Prediction with incomplete past and interpolation of missing values
• Prediction with incomplete past of a stationary process.
• Fractional ARIMA with stable innovations
• Prediction Variance and Information Worth of Observations in Time Series
• ESTIMATION AND INTERPOLATION OF MISSING VALUES OF A STATIONARY TIME SERIES
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