Description Usage Arguments Details References
missls : filling in missing values in time series
ldrec : Levinson-Durbin recursion
interpol : auxiliary function for missls
1 | uts_missls(x, p = 0, tol = 0.001, theo = 0)
|
x |
value |
p |
value |
tol |
tolereance value |
theo |
value |
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)
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
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