A Note on the Estimation of Missing Values in Time Series
- 1 January 1989
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Simulation and Computation
- Vol. 18 (2) , 459-465
- https://doi.org/10.1080/03610918908812770
Abstract
This paper derives an expression for the likelihood function of the parameters in an autoregressive-moving average model when some values are missing from the observed time series. The estimation of the missing values and their mean squared errors is discussed. Stationary as well as nonstationary models are considered.Keywords
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