SELECTION OF A LINEAR INTERPOLATOR FOR TIME-SERIES

被引：0
|
作者：
BATTAGLIA, F
机构：
来源：
STATISTICA SINICA | 1993年 / 3卷 / 01期
关键词：
INVERSE CORRELATIONS; LINEAR INTERPOLATOR; MISSING VALUES; ORDER SELECTION CRITERIA; OUTLIERS; TIME SERIES;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
A criterion is proposed for selecting the order of the linear interpolator of a stationary time series, which may be useful in the problems of missing values and outlier detection. The criterion is based on a mean-square error similar to that leading to the final prediction error criterion for autoregressive model identification, and is called the final interpolation error criterion. The behavior of the proposed criterion is illustrated by means of a simulation study.
引用
收藏
页码：255 / 259
页数：5
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