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dc.contributor.authorLu, Zudi
dc.contributor.authorHui, Y.
dc.identifier.citationLu, Zudi and Hui, Y.V. 2003. L1 Linear Interpolator of Missing Values in Time Series. Annals of the Institute of Statistical Mathematics. 55 (1): pp. 197-216.

We propose a minimum mean absolute error linear interpolator (MMAELI), based on the L1 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 applicationto a real series is presented. Extensions to the general ARMA model and other time series models are discussed.

dc.publisherKluwer Academic Publishers
dc.subjectAutoregressive process
dc.subjectmissing values
dc.subjectminimum mean absolute error
dc.subjectlinear interpolation
dc.subjectinnovation departure
dc.titleL1 Linear Interpolator of Missing Values in Time Series
dc.typeJournal Article
dcterms.source.titleAnnals of the Institute of Statistical Mathematics

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curtin.accessStatusFulltext not available
curtin.facultySchool of Science and Computing
curtin.facultyDepartment of Mathematics and Statistics
curtin.facultyFaculty of Science and Engineering

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