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Influence of Missing Values on the Prediction of a Stationary Time Series |
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| Authors: | Pascal Bondon |
| Abstract: | Abstract. The influence of missing observations on the linear prediction of a stationary time series is investigated. Simple bounds for the prediction error variance and asymptotic behaviours for short and long‐memory processes respectively are presented. |
| Keywords: | Prediction theory missing value problems asymptotic behaviour long‐memory Primary 62M10 secondary 60G25 |