Prediction of missing observations by a control method
Statistics Theory
2011-11-09 v3 Statistics Theory
Abstract
Consider a time series with missing observations but a known final point. Using control theory ideas we estimate/predict these missing observations. We obtain recurrence equations which minimize sum of squares of a control sequence. An advantage of this method is in easily computable formulae and flexibility of its application to different structures of missing data.
Cite
@article{arxiv.math/0609377,
title = {Prediction of missing observations by a control method},
author = {Vyacheslav M. Abramov and Fima C. Klebaner},
journal= {arXiv preprint arXiv:math/0609377},
year = {2011}
}
Comments
revised and resubmitted