missar: 'missar' Substitution of missing values in a time series by...

In tsapp: Time Series, Analysis and Application

Description

missar Substitution of missing values in a time series by conditional exspectations of AR(p) models

Usage

missar(x, p, iterout = 0)

Arguments

x	vector, the time series
p	integer, the maximal order of ar polynom 0 < p < 18,
iterout	if = 1, iteration history is printed

Value

out list with elements

a	(p,p)-matrix, estimated ar coefficients for ar-models
y	(n,1)-vector, completed time series
iterhist	matrix, NULL or the iteration history

Source

Miller R.B., Ferreiro O. (1984) <doi.org/10.1007/978-1-4684-9403-7_12> "A Strategy to Complete a Time Series with Missing Observations"

Examples

data(HEARTBEAT)
x <- HEARTBEAT
x[c(20,21)] <- NA
out <- missar(x,2)

tsapp documentation built on Oct. 30, 2021, 5:08 p.m.