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PREDICTION OF MISSING
OBSERVATIONS BY A CONTROL METHOD
Vyacheslav M. Abramov (Australia) and Fima C. Klebaner (Australia)
Received April 30, 2007
Abstract
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Consider a time series with missing observations but a
known final point. Using control theory ideas we estimate/predict these missing
observations. We obtain recurrence equations which minimize sum of squares of a
control sequence. An advantage of this method is in easily computable formulae
and flexibility of its application to different structures of missing data. |
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Keywords and phrases:
missing observations, autoregressive models, control method, prediction. |
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