L-1 linear interpolator for missing values in time series
文献类型：期刊论文
| 作者 | Lu, Z; Hui, YV |
| 刊名 | ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS
 |
| 出版日期 | 2003-03-01 |
| 卷号 | 55期号:1页码:197-216 |
| 关键词 | autoregressive process innovation departure linear interpolation minimum mean absolute error missing values |
| ISSN号 | 0020-3157 |
| 英文摘要 | 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. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000182153400014 |
| 出版者 | KLUWER ACADEMIC PUBL |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/18691]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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