An algorithm in the problem of interpolation of multidimensional time series

zbMath0533.62085MaRDI QIDQ789861

A. P. Mirabel', Leonid I. Piterbarg

Publication date: 1983

Published in: Problems of Information Transmission (Search for Journal in Brave)

zbMATH Keywords

recursive procedurestationary processconditional expectationslinear interpolationmissing valuesmultiple time seriesYule-Walker equationsautoregression processGauss-Seidel iteration procedure

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Iterative numerical methods for linear systems (65F10) Numerical interpolation (65D05)

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