Fitting autoregression with regularly missed observations

DOI10.1007/BF02480344zbMath0456.62071OpenAlexW1993582905MaRDI QIDQ1150985

Hideaki Sakai

Publication date: 1980

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02480344

zbMATH Keywords

frequency domainasymptotic error covariance matrixfitting autoregressionregularly missed observations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (6)

Likelihood ratio type unit root tests for ar(1)models with nonconsecutive observations ⋮ Tests of periodicity with missing observations ⋮ TESTING FOR A UNIT ROOT IN AN AR(1) TIME SERIES USING IRREGULARLY OBSERVED DATA ⋮ Least squares estimation of ARCH models with missing observations ⋮ Fixed-order optimal deconvolution filter with irregular missing data ⋮ Kernel estimation and interpolation for time series containing missing observations

Cites Work

• On the relation between fitting autoregression and periodogram with applications
• Spectrum estimation with missing observations
• Statistical predictor identification
• Spectral Analysis with Randomly Missed Observations: The Binomial Case
• Extending the Frequency Range of Spectrum Estimates by the Use of Two Data Recorders
• Spectral Analysis with Regularly Missed Observations
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