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Zuur, A.F. et al (2015). Estimating common trends in multivariate time series using dynamic factor analysis. J. ana. In Stat. Vol.2, No. 5, pp. 19-24.

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Article

Missing Values Estimation for a Stable Bivariate Autoregressive Process

1Department of Mathematics/Statistics, University of Port-Harcourt, P.M.B.5323, Port-Harcourt, Rivers State; Nigeria


American Journal of Applied Mathematics and Statistics. 2016, Vol. 4 No. 3, 67-73
DOI: 10.12691/ajams-4-3-2
Copyright © 2016 Science and Education Publishing

Cite this paper:
I.A. Iwok. Missing Values Estimation for a Stable Bivariate Autoregressive Process. American Journal of Applied Mathematics and Statistics. 2016; 4(3):67-73. doi: 10.12691/ajams-4-3-2.

Correspondence to: I.A.  Iwok, Department of Mathematics/Statistics, University of Port-Harcourt, P.M.B.5323, Port-Harcourt, Rivers State; Nigeria. Email: ibywok@yahoo.com

Abstract

This work proposed a method for the estimation of missing values in a stable bivariate autoregressive time series process. Missing observations were created at different positions in a stable bivariate series and the method was applied. Despite its ease of implementation, the obtained results suggested good performance of the method. The estimates obtained were compared with those of other existing methods. The result showed that the proposed method provides better estimates than the existing methods.

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