L1 Linear Interpolator of Missing Values in Time Series

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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

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