Computing missing values in time series

Víctor Gómez and Agustín Maravall
Authors registered in the RePEc Author Service: Daniel Peña

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: This work presents two algorithms to estimate missing values in time series. The first is the Kalman Filter, as developed by Kohn and Ansley (1986) and others. The second is the additive outlier approach, developed by Pefia, Ljung and Maravall. Both are exact and lead to the same results. However, the first is, in general, faster and the second more flexible.

Keywords: Kalman; filter; Additive; outliers; Nonstationary; ARIMA; processes; Concentrated; likelihoods (search for similar items in EconPapers)
Date: 1993-10
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:3737

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