Finite sample prediction and interpolation for ARMA models with missing data
Article Abstract:
A forecasting technique based on Cholesky decomposition which evaluates the likelihood function of an ARMA model with missing data is presented.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1999
Autoregression (Statistics), Transformations (Mathematics)
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1999
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Dynamic Harmonic Regression
Article Abstract:
A flexible dynamic harmonic regression model for estimating and forecasting cyclical occurrences in nonstationary time series is discussed.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1999
Innovations, Mathematical models, Regression analysis
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1999
User Contributions:
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Forecasting with latent structure time series models: An application to nominal interest rates
Article Abstract:
A multiple-regime latent structure modelling of time series is used in forecasting nominal interest rates.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1999
United States, Forecasts and trends, Interest rates, Treasury securities, Latent structure analysis
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1999
User Contributions:
Comment about this article or add new information about this topic:
Subjects list: United Kingdom, Models, Forecasting, Time-series analysis, Time series analysis
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