Modelling multiple time series with missing observations
Cheung, King Chau
This thesis introduces an approach to the state space
modelling of time series that may possess missing observations.
The procedure starts by estimating the autocovariance sequence
using an idea proposed by Parzen(1963) and Stoffer(1986).
Successive Hankel matrices are obtained via Autoregressive
approximations. The rank of the Hankel matrix is determined by a
singular value decomposition in conjunction with an appropriate
model selection criterion . An in tern ally balanced state...[Show more]
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