Least squates estimation of missing values in time series |
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Authors: | Steve Beveridge |
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Institution: | Faculty of Business , University of Alberta , Edmonton, T6G 2R6, Canada |
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Abstract: | The minimum mean square error linear interpolator for missing values in time series is extended to handle any pattern of nonconsecutive observations. The paper then develops evidence with simple ARMA models that the usefulness of either the"nonparametric"or the parametric form of the least squares interpolator depends on the time series model, the arrangement of the missing data and the objective for completing the series. |
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Keywords: | missing values least squares interpolation time series ARIMA models |
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