TUTCRIS - Tampereen teknillinen yliopisto

TUTCRIS

Spectral modeling of time series with missing data

Tutkimustuotosvertaisarvioitu

Yksityiskohdat

AlkuperäiskieliEnglanti
Sivut4676-4684
Sivumäärä9
JulkaisuApplied Mathematical Modelling
Vuosikerta37
Numero7
DOI - pysyväislinkit
TilaJulkaistu - 1 huhtikuuta 2013
OKM-julkaisutyyppiA1 Alkuperäisartikkeli

Tiivistelmä

Singular spectrum analysis is a natural generalization of principal component methods for time series data. In this paper we propose an imputation method to be used with singular spectrum-based techniques which is based on a weighted combination of the forecasts and hindcasts yield by the recurrent forecast method. Despite its ease of implementation, the obtained results suggest an overall good fit of our method, being able to yield a similar adjustment ability in comparison with the alternative method, according to some measures of predictive performance.

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