L-1 linear interpolator for missing values in time series

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	L-1 linear interpolator for missing values in time series
	Lu, Z ; Hui, YV
	2003-03-01
发表期刊	ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS
ISSN	0020-3157
卷号	55 期号:1 页码:197-216
摘要	We propose a minimum mean absolute error linear interpolator (MMAELI), based on the L-1 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 series. It is found that information implied in the innovation series is useful for the interpolation of missing values. The MMAELIs of the AR(1) model with innovations following mixed normal and t distributions are studied in detail. The MMAELI also approximates the minimum mean squared error linear interpolator (MMSELI) well in mean squared error but outperforms the MMSELI in mean absolute error. An application to a real series is presented. Extensions to the general ARMA model and other time series models axe discussed.
关键词	autoregressive process innovation departure linear interpolation minimum mean absolute error missing values
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000182153400014
出版者	KLUWER ACADEMIC PUBL
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/18692
专题	中国科学院数学与系统科学研究院
作者单位	1.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 2.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Lu, Z,Hui, YV. L-1 linear interpolator for missing values in time series[J]. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS,2003,55(1):197-216.
APA	Lu, Z,&Hui, YV.(2003).L-1 linear interpolator for missing values in time series.ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS,55(1),197-216.
MLA	Lu, Z,et al."L-1 linear interpolator for missing values in time series".ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS 55.1(2003):197-216.