Casting vector time series: algorithms for forecasting, imputation, and signal extraction

DOI10.1214/22-EJS2068OpenAlexW4312457178MaRDI QIDQ2106771

Tucker S. McElroy

Publication date: 19 December 2022

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-16/issue-2/Casting-vector-time-series-algorithms-for-forecasting-imputation-and/10.1214/22-EJS2068.full

zbMATH Keywords

missing valuesDurbin-Levinson algorithmragged edgeWiener-Kolmogorov

Mathematics Subject Classification ID

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

Cites Work

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