A note on prediction and interpolation errors in time series

DOI10.1016/j.spl.2005.03.014zbMath1077.62075OpenAlexW1984039880MaRDI QIDQ2573992

Daniel Peña, Pedro Galeano

Publication date: 25 November 2005

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2005.03.014

zbMATH Keywords

prediction errorKalman filterARMA processinterpolation errorfixed-point smoothing

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Unnamed Item
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter

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