SYMMETRIC STABLE SEQUENCES WITH MISSING OBSERVATIONS

Dankit K. Nassiuma

Journal of Time Series Analysis, 1994, vol. 15, issue 3, 313-323

Abstract: Abstract. A procedure for evaluating optimal linear estimates of missing values in the minimum dispersion sense is proposed for stationary symmetric stable processes. Analytical expressions for the estimates are obtained for the autoregressive moving‐average process and it is shown that the finite variance setting results are special cases. Cases of one and more than one missing value are considered.

Date: 1994
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https://doi.org/10.1111/j.1467-9892.1994.tb00196.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:15:y:1994:i:3:p:313-323

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