Imputation of Missing Values for BL (P,0,P,P) Models with Normally Distributed Innovations
Science Journal of Applied Mathematics and Statistics
Volume 3, Issue 6, December 2015, Pages: 234-242
Received: Oct. 4, 2015; Accepted: Oct. 21, 2015; Published: Oct. 30, 2015
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Poti Abaja Owili, Mathematics and Computer Science Department, Laikipia University, Nyahururu, Kenya
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This study derived estimates of missing values for bilinear time series models BL (p, 0, p, p) with normally distributed innovations by minimizing the h-steps-ahead dispersion error. For comparison purposes, missing value estimates based on artificial neural network (ANN) and exponential smoothing (EXP) techniques were also obtained. Simulated data was used in the study. 100 samples of size 500 each were generated for bilinear time series models BL (1, 0, 1, 1) using the R-statistical software. In each sample, artificial missing observations were created at data positions 48, 293 and 496 and estimated using these methods. The performance criteria used to ascertain the efficiency of these estimates were the mean absolute deviation (MAD) and mean squared error (MSE). The study found that optimal linear estimates were the most efficient estimates for estimating missing values for BL (p, 0, p, p). The study recommends OLE estimates for estimating missing values for bilinear time series data with normally distributed innovations.
Optimal Linear Interpolation, Simulation, MSE, Innovations, ANN, Exponential Smoothing
To cite this article
Poti Abaja Owili, Imputation of Missing Values for BL (P,0,P,P) Models with Normally Distributed Innovations, Science Journal of Applied Mathematics and Statistics. Vol. 3, No. 6, 2015, pp. 234-242. doi: 10.11648/j.sjams.20150306.12
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