uts_missls: uts_missls

Description Usage Arguments Details References

Description

missls : filling in missing values in time series
ldrec : Levinson-Durbin recursion
interpol : auxiliary function for missls

Usage

1
uts_missls(x, p = 0, tol = 0.001, theo = 0)

Arguments

x

value

p

value

tol

tolereance value

theo

value

Details

Purpose : Minimum Mean Square Error Interpolator to fill missings using LS approach

Format : y = missls(x,p=0,tol=0.001,theo=0)

Input : x = (n,1)-vector, time series with missings
p = scalar, 0, or prespecified order of AR modell

Output : y = (n,1) vector, completed time series

Remarks : first and last observation mut not be missing tolerance can be set through variable tol it enters via tol*sd(x,na.rm=TRUE) prespecified iacf can be incorporated trough variable theo = (k,1)-vector, prespecified iacf (starting at lag 1)

References

Source: Rainer Schlittgen (01.10.2014) tsutil.r missls()

Brubacker, S. and Wilson, G. (1976): Interpolating time series with applications to the estimation of holiday effects on electricity demand Journal of the Royal Statistical Society, C, 25, 107-116


WoVollmer/pkgTS documentation built on June 2, 2021, 4:02 a.m.