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Influence of Missing Values on the Prediction of a Stationary Time Series
Pascal Bondon (Centre National de la Recherche Scientifique, Laboratoire des signaux et systèmes)
Journal of Time Series Analysis
DOI: 10.1111/j.1467-9892.2005.00433.x (Mathematics)
License: not stated (all rights reserved)
Abstract: Abstract. 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.
Published on 20 Jun. 2005