Modelling multiple time series with missing observations
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]
|Collections||Open Access Theses|
|Type:||Thesis (Masters sub-thesis)|
|b18909590_Cheung_King_Chau.pdf||9.57 MB||Adobe PDF|
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