missar function

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

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"

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

Returns

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

Examples

data(HEARTBEAT)
x <- HEARTBEAT
x[c(20,21)] <- NA
out <- missar(x,2)