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

Pascal Bondon

Journal of Time Series Analysis, 2005, vol. 26, issue 4, 519-525

Abstract: Abstract. The influence of missing observations on the linear prediction of a stationary time series is investigated. Simple bounds for the prediction error variance and asymptotic behaviours for short and long‐memory processes respectively are presented.

Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:26:y:2005:i:4:p:519-525

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