L1 Linear Interpolator of Missing Values in Time Series

L1 Linear Interpolator of Missing Values in Time Series

We propose a minimum mean absolute error linear interpolator (MMAELI), based on the L1 approach. A linear functional of the observed time series due to non-normal innovations is derived. The solution equation for the coefficients of this linear functional is established in terms of the innovation se...

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Bibliographic Details
Main Authors: Lu, Zudi, Hui, Y.
Format: Journal Article
Published: Kluwer Academic Publishers 2003
Subjects:
Autoregressive process
missing values
minimum mean absolute error
linear interpolation
innovation departure
Online Access:http://hdl.handle.net/20.500.11937/44023

Internet

http://hdl.handle.net/20.500.11937/44023

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