Optimal linear interpolation of multiple missing values

Tucker McElroy () and Dimitris N. Politis ()
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Dimitris N. Politis: University of California, San Diego

Statistical Inference for Stochastic Processes, 2022, vol. 25, issue 3, No 3, 483 pages

Abstract: Abstract The problem of linear interpolation in the context of a multivariate time series having multiple (possibly non-consecutive) missing values is studied. A concise formula for the optimal interpolating filter is derived, and illustrations using two simple models are provided.

Keywords: Imputation; Infinite past; Linear filter; Prediction (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s11203-022-09269-5

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