Time series interpolation via global optimization of moments fitting

By Emilio Carrizosa, Alba V. Olivares-Nadal, Pepa Ramírez-Cobo. 2013

23 citations recorded by the source corpus.

Most time series forecasting methods assume the series has no missing values. When missing values exist, interpolation methods, while filling in the blanks, may substantially modify the statistical pattern of the data, since critical features such as moments and autocorrelations are not necessarily preserved.

Subfields: Applied Mathematics, Management Science and Operations Research, Signal Processing