Estimation method based on MinMaxEnt distribution for missing value in time series

Authors:
Aladdin Shamilov;Cigdem Giriftinoglu
Affiliations:
Anadolu University, Faculty of Science, Department of Statistics, Eskisehir, Turkey;Anadolu University, Faculty of Science, Department of Statistics, Eskisehir, Turkey
Venue:
ICOSSSE '09 Proceedings of the 8th WSEAS international conference on System science and simulation in engineering
Year:
2009

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Statistical analysis with missing data

Statistical analysis with missing data
Time Series Analysis, Forecasting and Control

Time Series Analysis, Forecasting and Control

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Abstract

In this study, MinMaxEnt distribution out of Generalized Entropy Optimization Distributions with moment functions and moment values dependent on parameter are introduced. MaxEnt distribution for observed time series is obtained as a multivariate normal distribution. Then MinMaxEnt distribution for time series with missing value is constituted and the value γ determined by MinMaxEnt distribution is a estimation for the missing value in times series. Estimation method based on MinMaxEnt distribution for missing value is applied for the time series generated by AR(4) process. By assumption that the value in each position in time series is missing, mean square error (MSE) is calculated for the mentioned new estimation method.