Suppose { Y t } is the AR (p) process defined by Y t = φ 1 Y t −1 +· ·

Estimating missing observations in an AR process

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Suppose {Yt} is the AR(p) process defined by

Ytφ1Yt−1 +· · ·+φpYtpZt , {Zt} ∼ WN(02),

and Y = (Yi1, . . . , Yir )’, with 1 ≤ i1· · · < ir≤ n, are the observed values. If there are no missing observations in the first observations, then the best estimates of the missing values are found by minimizing

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