Missing Values in Vector Time Series

H. Mitchell

Working Papers from Melbourne - Centre in Finance

Abstract: We consider the problem of estimating missing values in vector time series. We give a method of calculating the minimum least squares estimate and a second method which uses the best linear combination of the forward and backward predictors. We derive the estimators for some simple models. We also give a method for calculatingthe exact likelihood of Gaussian linear process with missing observations using the innovations algorithm.

Keywords: TIME SERIES; ESTIMATOR (search for similar items in EconPapers)
JEL-codes: C10 C13 C32 (search for similar items in EconPapers)
Pages: 13 pages
Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:fth:melrfi:97-6

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