missar {tsapp}

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

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)