missls function

missls substitutes missing values in a time series using the LS approach with ARMA models

Source

S. R. Brubacher and G. Tunnicliffe Wilson (1976) https://www.jstor.org/stable/2346678 "Interpolating Time Series with Application to the Estimation of Holiday Effects on Electricity Demand Journal of the Royal Statistical Society"

missls(x, p = 0, tol = 0.001, theo = 0)

Arguments

• x: vector, the time series
• p: integer, the order of polynom alpha(B)/beta(B)
• tol: tolerance that can be set; it enters via tol*sd(x,na.rm=TRUE)
• theo: (k,1)-vector, prespecified Inverse ACF, IACF (starting at lag 1)

Returns

y completed time series

Examples

data(HEARTBEAT)
x <- HEARTBEAT
x[c(20,21)] <- NA
out <-  missls(x,p=2,tol=0.001,theo=0)