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| we9101.pdf | -- 2008-07-18 -- Available on Internet -- preprint | 153,39 kB | Adobe PDF | |  |
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| Title: | A Note on likelihood estimation of missing values in time series |
| Author(s): | Peña, Daniel
Tiao, George C. |
| Publisher: | Universidad Carlos III de Madrid. Departamento de Economía |
| Issued date: | Feb-1991 |
| URI: | http://hdl.handle.net/10016/2748 |
| Abstract: | Missing values in time series can be treated as unknown parameters and estimated by maximum likelihood, or as random variables and predicted by the expectation of the unknown values given the data. The difference between these two procedures is illustrated by an example. It is argued that the second procedure is, in general, more relevant for estimating missing values in time series. |
| Serie / Nº.: | Working Papers
1991-01 |
| Keywords: | ARIMA models
Interpolation
Mean Square Error |
| Appears in Collections: | Economists Online
DE - Working Papers. Economics. WE
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