Prediction of missing observations by a control method

Mathematics – Statistics Theory

Scientific paper

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revised and resubmitted

Scientific paper

Consider a time series with missing observations but a known final point.
Using control theory ideas we estimate/predict these missing observations. We
obtain recurrence equations which minimize sum of squares of a control
sequence. An advantage of this method is in easily computable formulae and
flexibility of its application to different structures of missing data.

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