Parameter estimation for auto-regressive systems with missing observations

Peter B. McGiffin; D. N. Prabhakar Murthy

doi:10.1080/00207728008967071

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Parameter estimation for auto-regressive systems with missing observations

Peter B. McGiffin D. N. Prabhakar Murthy

Year: 1980 Journal: International Journal of Systems Science Vol: 11 (9)Pages: 1021-1034 Publisher: Taylor & Francis

DOI: 10.1080/00207728008967071

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Abstract

Abstract This paper examines the problem of parameter estimation for auto-regressive (AR) models with missing observations. The pattern for the missing observations is arbitrary. Various method are proposed and simulation results are presented.

Keywords:

Missing data Estimation Autoregressive model Estimation theory Computer science Mathematics Econometrics Statistics Applied mathematics Algorithm Engineering

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Control Systems and Identification

Physical Sciences → Engineering → Control and Systems Engineering

Fault Detection and Control Systems

Physical Sciences → Engineering → Control and Systems Engineering

Distributed Sensor Networks and Detection Algorithms

Physical Sciences → Computer Science → Computer Networks and Communications

Parameter estimation for auto-regressive systems with missing observations

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