Non-stationary time series, linear interpolators and outliers

Abstract

We 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.