A Note on the Estimation of Missing Values in Time Series |
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| Authors: | Greta M Ljung |
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| Institution: | Department of Mathematics , Massachusetts Institute of Technology , 02189, Cambridge, Massachusetts, U.S.A |
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| 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. |
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| Keywords: | Autoregressive moving average process interpolation likelihood function missing values outliers time series |
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