Advertisement

Processing of Missing Observations and Outliers in Time Series

  • Genshiro Kitagawa
Part of the Statistics for Engineering and Physical Science book series (ISS)

Abstract

Thanks to rapid and remarkable development of electronic devices such as computers and measurement instruments, a variety of time series has been available automatically and continuously, resulting in minute-by-minute accumulation of a large amount of data. However when time series is observed for a long period, part of the time series is sometimes unable to be observed owing to some accidental causes such as malfunction of instrument or some physical restrictions of the observation system. In such a case, unobserved data is called missing observations. Even with only several percent of the missing observations, if they are studded with the data, the length of actually available data may become very short if only a part observed continuously is taken out.

Keywords

Kalman Filter Time Series Model Variance Covariance Matrix Ground Water Level Observation Noise 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Dennis, J. E. Jr. and Schnabel, R. B. (1983), Numerical Methods for Unconstrained Optimization and Nonlinear Equations, Prentice Hall, New Jersey.MATHGoogle Scholar
  2. Sakamoto, Y., Ishiguro, M. and Kitagawa, G. (1986), Akaike Information Criterion Statistics, D. Reidel Publishing Co, Dordrecht.MATHGoogle Scholar
  3. Kitagawa, G. (1987), “Non-Gaussian state space modeling of nonstationary time series”, Journal of the American Statistical Association, Vol. 82, 1032–1063 (with discussion).MathSciNetMATHCrossRefGoogle Scholar
  4. Kitagawa, G. and Gersch, W. (1996), Smoothness Priors Analysis of Time Series, Lecture Notes in Statistics, No. 116, Springer-Verlag, New York.MATHCrossRefGoogle Scholar
  5. Kitagawa, G. and Matsumoto, N. (1996), “Detection of coseismic changes of underground water level”, Journal of the American Statistical Association,Vol. 91, No. 434, 521–528.MATHCrossRefGoogle Scholar

Copyright information

© Springer-Verlag New York, Inc. 1999

Authors and Affiliations

  • Genshiro Kitagawa
    • 1
  1. 1.The Institute of Statistical MathematicsTokyoJapan

Personalised recommendations