Non-stationary time series, linear interpolators and outliers
AbstractWe define the linear interpolator for a class of discrete-parameter real valued non-stationary time series. We assume that a linear time-invariant filter exists so that the filtered time series is second-order stationary. Methods for estimating the time-invariant weights of the linear interpolator are examined and consistent estimates are derived. The usefulness of the linear interpolator for missing values estimation and multiple outliers detection is discussed.
How to Cite
Baragona, R. (1998). Non-stationary time series, linear interpolators and outliers. Statistica, 58(3), 375–394. https://doi.org/10.6092/issn.1973-2201/1089