Influence of Missing Values on the Prediction of a Stationary Time Series

.  The influence of missing observations on the linear prediction of a stationary time series is investigated. Simple bounds for the prediction error variance and asymptotic behaviours for short and long‐memory processes respectively are presented.

Bibliographische Detailangaben

Veröffentlicht in:	Journal of time series analysis 2005-07, Vol.26 (4), p.519-525
1. Verfasser:	Bondon, Pascal
Format:	Artikel
Sprache:	eng
Schlagworte:	asymptotic behaviour long-memory Mathematical models missing value problems Prediction theory Primary 62M10 secondary 60G25 Studies Time series
Online-Zugang:	Volltext
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