Prediction of Missing Observations by a Control Method

نویسندگان

  • VYACHESLAV M. ABRAMOV
  • FIMA C. KLEBANER
چکیده

Consider a time series with missing observations but a known final point. Using control theory ideas we estimate/predict these missing observations. We obtain recurrence equations which minimize sum of squares of a control sequence. An advantage of this method is in easily computable formulae and flexibility of its application to different structures of missing data.

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تاریخ انتشار 2007