Methodologies for the estimation of missing observations in time series

Osvaldo Ferreiro

Statistics & Probability Letters, 1987, vol. 5, issue 1, 65-69

Abstract: The article discusses different alternatives for the estimation of missing observations in stationary time series following autoregressive-moving average (ARMA) models. The occurrence of missing observations is quite common in time series and in may cases it is important to estimate them. The article offers an array of estimation alternatives to help the practitioner.

Keywords: times; series; missing; observations; ARMA; models; Kalman-Bucy; filter; PEM; algoithm; smoothing; cubic; spline (search for similar items in EconPapers)
Date: 1987
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Citations: View citations in EconPapers (2)

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