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An Approach To Time Series Smoothing And Forecasting Using The Em Algorithm

Author

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  • R. H. Shumway
  • D. S. Stoffer
Abstract
. An approach to smoothing and forecasting for time series with missing observations is proposed. For an underlying state‐space model, the EM algorithm is used in conjunction with the conventional Kalman smoothed estimators to derive a simple recursive procedure for estimating the parameters by maximum likelihood. An example is given which involves smoothing and forecasting an economic series using the maximum likelihood estimators for the parameters.

Suggested Citation

  • R. H. Shumway & D. S. Stoffer, 1982. "An Approach To Time Series Smoothing And Forecasting Using The Em Algorithm," Journal of Time Series Analysis, Wiley Blackwell, vol. 3(4), pages 253-264, July.
    • Handle: RePEc:bla:jtsera:v:3:y:1982:i:4:p:253-264
    DOI: 10.1111/j.1467-9892.1982.tb00349.x
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