ESTIMATION AND INTERPOLATION OF MISSING VALUES OF A STATIONARY TIME SERIES

Mohsen Pourahmadi

Journal of Time Series Analysis, 1989, vol. 10, issue 2, 149-169

Abstract: Abstract. A complete solution of the important problem of estimating (interpolating) the missing values of a stationary time series is obtained by decomposing it into a prediction plus regression problem. This makes it possible to estimate the missing values by finding the multistep‐ahead predictors and using the existing computer packages for time series analysis. Such a solution is vital for the E step of the EM algorithm, and it is shown how this algorithm can be used to develop a simultaneous procedure for estimating the parameters and missing values of a time series.

Date: 1989
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