Advances and Applications in Statistics
Volume 8, Issue 1, Pages 109 - 129
(February 2008)
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PREDICTION OF MISSING OBSERVATIONS BY A CONTROL METHOD
Vyacheslav M. Abramov (Australia) and Fima C. Klebaner (Australia)
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Abstract: Consider a time series with missing observations but a known final point. Using control theory ideas we estimate/predict these missing observations. We obtain recurrence equations which minimize sum of squares of a control sequence. An advantage of this method is in easily computable formulae and flexibility of its application to different structures of missing data. |
Keywords and phrases: missing observations, autoregressive models, control method, prediction. |
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