Prediction of missing observations by a control method

Vyacheslav M. Abramov; Fima C. Klebaner

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arXiv · math/0609377

Prediction of missing observations by a control method

Vyacheslav M. Abramov·Fima C. Klebaner

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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.

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BibTeX RIS

Vyacheslav M. Abramov, Fima C. Klebaner. 2006-09-14. Prediction of missing observations by a control method. https://arxiv.org/abs/math/0609377

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