Pourahmadi, Mohsen Estimation and interpolation of missing values of a stationary time series. (English) Zbl 0686.62067 J. Time Ser. Anal. 10, No. 2, 149-169 (1989). The paper deals with the problem of interpolating missing values of a stationary time series. This is done by decomposing it into a prediction plus regression problem. It is shown how the EM-algorithm can be used to provide estimators for the parameters and missing values of a time series. Reviewer: P.A.Morettin Cited in 13 Documents MSC: 62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH) 62M20 Inference from stochastic processes and prediction Keywords:multistep-ahead predictors; autoregressive process; moving-average process; interpolating missing values; stationary time series; prediction plus regression problem; EM-algorithm PDF BibTeX XML Cite \textit{M. Pourahmadi}, J. Time Ser. Anal. 10, No. 2, 149--169 (1989; Zbl 0686.62067) Full Text: DOI References: [1] DOI: 10.1080/03610928108828138 · doi:10.1080/03610928108828138 [2] Battaglia F., J. Time Ser. Anal. 9 pp 1– (1988) [3] DOI: 10.2307/2346678 · doi:10.2307/2346678 [4] DOI: 10.2307/2982488 · Zbl 0429.62064 · doi:10.2307/2982488 [5] DOI: 10.2307/1267420 · Zbl 0276.62079 · doi:10.2307/1267420 [6] Dunsmuir W., Proceedings of Time Series Analysis of Irregularly Observed Data pp 58– (1983) [7] DOI: 10.2307/1268324 · Zbl 0451.62069 · doi:10.2307/1268324 [8] Kolmogorov A. N., Bull. Moscow State Univ. 2 pp 1– (1941) [9] Little R., Statistical Analysis with Missing Data. (1987) · Zbl 0665.62004 [10] DOI: 10.1007/BF02547188 · Zbl 0096.11505 · doi:10.1007/BF02547188 [11] DOI: 10.1112/jlms/s2-38.1.133 · Zbl 0669.41018 · doi:10.1112/jlms/s2-38.1.133 [12] Miller R. B., Proceedings of Time Series Analysis of Irregularly Observed Data pp 251– (1983) [13] Parzen E., Proceedings of Time Series Analysis of Irregularly Observed Data, Lecture Notes in Statistics 25 (1983) [14] DOI: 10.1214/aoms/1177697081 · Zbl 0195.19704 · doi:10.1214/aoms/1177697081 [15] DOI: 10.1016/0047-259X(85)90039-9 · Zbl 0583.62086 · doi:10.1016/0047-259X(85)90039-9 [16] Rao C. R., Linear Statistical Inference and Its Applications. (1973) · Zbl 0256.62002 · doi:10.1002/9780470316436 [17] Rozanov Yu A., Stationary Random Processes. (1967) This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.