Estimation method of AR (P) model with missing data
Estimation method of AR (P) model with missing data
Author：Tian Ping,Dong Xianfeng,Wang Dehui,Huang Xiaowei Journal：Journal of Jilin University (Science Edition) Date：2003(6)
Keywords Likelihood function; EM algorithm; conditional probability density
Abstract
In this paper, we study the estimation method of the zero mean AR (P) model under the condition of missing data, and use the EM algorithm to give the specific calculation steps of a data and two missing data.
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