AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
Journal of Time Series AnalysisPublished 1 July 1982
Robert H. Shumway, David S. Stoffer
Citations1,492
SJR quartileQ1
SJR score0.94
SNIP1.27
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Abstract
Abstract. An approach to smoothing and forecasting for time series with missing observations is proposed. For an underlying state‐space model, the EM algorithm is used in conjunction with the conventional Kalman smoothed estimators to derive a simple recursive procedure for estimating the parameters by maximum likelihood. An example is given which involves smoothing and forecasting an economic series using the maximum likelihood estimators for the parameters.
Keywords
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