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. Copyright 2005 Blackwell Publishing Ltd.

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Year of publication:	2005
Authors:	Bondon, Pascal
Published in:	Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 26.2005, 4, p. 519-525
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005177465