Finite sample prediction and interpolation for ARMA models with missing data

Article Abstract:

A forecasting technique based on Cholesky decomposition which evaluates the likelihood function of an ARMA model with missing data is presented.

Autoregression (Statistics), Transformations (Mathematics)

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Dynamic Harmonic Regression

Article Abstract:

A flexible dynamic harmonic regression model for estimating and forecasting cyclical occurrences in nonstationary time series is discussed.

Innovations, Mathematical models, Regression analysis

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Forecasting with latent structure time series models: An application to nominal interest rates

Article Abstract:

A multiple-regime latent structure modelling of time series is used in forecasting nominal interest rates.

United States, Forecasts and trends, Interest rates, Treasury securities, Latent structure analysis

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