Time Series Regression with Periodically Correlated Errors and Missing Data

1984 ◽  
pp. 78-107 ◽  
Author(s):  
W. Dunsmuir
Keyword(s):  
Time Series ◽  
Missing Data ◽  
Correlated Errors ◽  
Time Series Regression

Prediction of harvest start date in highbush blueberry using time series regression models with correlated errors

2012 ◽  
Vol 138 ◽  
pp. 165-170 ◽  
Author(s):  
Carlos Muñoz ◽  
Julio Ávila ◽  
Sonia Salvo ◽  
Juan I. Huircán
Keyword(s):  
Time Series ◽  
Regression Models ◽  
Highbush Blueberry ◽  
Correlated Errors ◽  
Time Series Regression ◽  
Start Date

HETEROSKEDASTICITY AUTOCORRELATION ROBUST INFERENCE IN TIME SERIES REGRESSIONS WITH MISSING DATA

2018 ◽  
Vol 35 (03) ◽  
pp. 601-629
Author(s):  
Seung-Hwa Rho ◽  
Timothy J. Vogelsang
Keyword(s):  
Time Series ◽  
Missing Data ◽  
Regression Model ◽  
Critical Values ◽  
Missing Observations ◽  
Test Statistics ◽  
Time Series Regression ◽  
Bootstrap Methods ◽  
Time Periods ◽  
Equal Space

In this article, we investigate the properties of heteroskedasticity and autocorrelation robust (HAR) test statistics in time series regression settings when observations are missing. We primarily focus on the nonrandom missing process case where we treat the missing locations to be fixed asT→ ∞ by mapping the missing and observed cutoff dates into points on [0,1] based on the proportion of time periods in the sample that occur up to those cutoff dates. We consider two models, the amplitude modulated series (Parzen, 1963) regression model, which amounts to plugging in zeros for missing observations, and the equal space regression model, which simply ignores the missing observations. When the amplitude modulated series regression model is used, the fixed-blimits of the HAR test statistics depend on the locations of missing observations but are otherwise pivotal. When the equal space regression model is used, the fixed-blimits of the HAR test statistics have the standard fixed-blimits as in Kiefer and Vogelsang (2005). We discuss methods for obtaining fixed-bcritical values with a focus on bootstrap methods and find the naivei.i.d.bootstrap with missing dates fixed to be an effective and practical way to obtain the fixed-bcritical values.

An easy way to create duration variables in binary cross-sectional time-series data

2020 ◽  
Vol 20 (4) ◽  
pp. 916-930
Author(s):  
Andrew Q. Philips
Keyword(s):  
Time Series ◽  
Missing Data ◽  
Time Series Data ◽  
Series Data ◽  
Duration Dependence ◽  
Cross Sectional ◽  
Common Solution ◽  
The Common

In cross-sectional time-series data with a dichotomous dependent variable, failing to account for duration dependence when it exists can lead to faulty inferences. A common solution is to include duration dummies, polynomials, or splines to proxy for duration dependence. Because creating these is not easy for the common practitioner, I introduce a new command, mkduration, that is a straightforward way to generate a duration variable for binary cross-sectional time-series data in Stata. mkduration can handle various forms of missing data and allows the duration variable to easily be turned into common parametric and nonparametric approximations.

A Method Based on MTLS and ILSP for GNSS Coordinate Time Series Analysis with Missing Data

2021 ◽  
Author(s):  
Yingying Ren ◽  
Hu Wang ◽  
Lizhen Lian ◽  
Jiexian Wang ◽  
Yingyan Cheng ◽  
...  
Keyword(s):  
Time Series ◽  
Missing Data ◽  
Time Series Analysis ◽  
Coordinate Time ◽  
Coordinate Time Series ◽  
Series Analysis

scholarly journals Time series regression studies in environmental epidemiology

2013 ◽  
Vol 42 (4) ◽  
pp. 1187-1195 ◽  
Author(s):  
Krishnan Bhaskaran ◽  
Antonio Gasparrini ◽  
Shakoor Hajat ◽  
Liam Smeeth ◽  
Ben Armstrong
Keyword(s):  
Time Series ◽  
Environmental Epidemiology ◽  
Time Series Regression

scholarly journals A comparison of methods for smoothing and gap filling time series of remote sensing observations – application to MODIS LAI products

2013 ◽  
Vol 10 (6) ◽  
pp. 4055-4071 ◽  
Author(s):  
S. Kandasamy ◽  
F. Baret ◽  
A. Verger ◽  
P. Neveux ◽  
M. Weiss
Keyword(s):  
Time Series ◽  
Missing Data ◽  
Time Course ◽  
Singular Spectrum Analysis ◽  
Gaussian Function ◽  
Gap Filling ◽  
Area Index ◽  
Filling Time ◽  
Moderate Resolution ◽  
Temporal Profiles

Abstract. Moderate resolution satellite sensors including MODIS (Moderate Resolution Imaging Spectroradiometer) already provide more than 10 yr of observations well suited to describe and understand the dynamics of earth's surface. However, these time series are associated with significant uncertainties and incomplete because of cloud cover. This study compares eight methods designed to improve the continuity by filling gaps and consistency by smoothing the time course. It includes methods exploiting the time series as a whole (iterative caterpillar singular spectrum analysis (ICSSA), empirical mode decomposition (EMD), low pass filtering (LPF) and Whittaker smoother (Whit)) as well as methods working on limited temporal windows of a few weeks to few months (adaptive Savitzky–Golay filter (SGF), temporal smoothing and gap filling (TSGF), and asymmetric Gaussian function (AGF)), in addition to the simple climatological LAI yearly profile (Clim). Methods were applied to the MODIS leaf area index product for the period 2000–2008 and over 25 sites showed a large range of seasonal patterns. Performances were discussed with emphasis on the balance achieved by each method between accuracy and roughness depending on the fraction of missing observations and the length of the gaps. Results demonstrate that the EMD, LPF and AGF methods were failing because of a significant fraction of gaps (more than 20%), while ICSSA, Whit and SGF were always providing estimates for dates with missing data. TSGF (Clim) was able to fill more than 50% of the gaps for sites with more than 60% (80%) fraction of gaps. However, investigation of the accuracy of the reconstructed values shows that it degrades rapidly for sites with more than 20% missing data, particularly for ICSSA, Whit and SGF. In these conditions, TSGF provides the best performances that are significantly better than the simple Clim for gaps shorter than about 100 days. The roughness of the reconstructed temporal profiles shows large differences between the various methods, with a decrease of the roughness with the fraction of missing data, except for ICSSA. TSGF provides the smoothest temporal profiles for sites with a % gap > 30%. Conversely, ICSSA, LPF, Whit, AGF and Clim provide smoother profiles than TSGF for sites with a % gap < 30%. Impact of the accuracy and smoothness of the reconstructed time series were evaluated on the timing of phenological stages. The dates of start, maximum and end of the season are estimated with an accuracy of about 10 days for the sites with a % gap < 10% and increases rapidly with the % gap. TSGF provides more accurate estimates of phenological timing up to a % gap < 60%.

AN EVOLUTIONARY APPROACH FOR IMPUTING MISSING DATA IN TIME SERIES

2010 ◽  
Vol 19 (01) ◽  
pp. 107-121 ◽  
Author(s):  
JUAN CARLOS FIGUEROA GARCÍA ◽  
DUSKO KALENATIC ◽  
CESAR AMILCAR LÓPEZ BELLO
Keyword(s):  
Genetic Algorithm ◽  
Time Series ◽  
Missing Data ◽  
Genetic Structure ◽  
Evolutionary Algorithm ◽  
Fitness Function ◽  
Error Function ◽  
Missing Observations ◽  
Mean And Variance ◽  
Methodological Aspects

This paper presents a proposal based on an evolutionary algorithm for imputing missing observations in time series. A genetic algorithm based on the minimization of an error function derived from their autocorrelation function, mean, and variance is presented. All methodological aspects of the genetic structure are presented. An extended description of the design of the fitness function is provided. Four application examples are provided and solved by using the proposed method.

scholarly journals Relationship between daily suicide counts and temperature in England and Wales

2007 ◽  
Vol 191 (2) ◽  
pp. 106-112 ◽  
Author(s):  
Lisa A. Page ◽  
Shakoor Hajat ◽  
R. Sari Kovats
Keyword(s):  
Time Series ◽  
Seasonal Fluctuation ◽  
Daily Temperature ◽  
Short Term ◽  
Time Series Regression ◽  
England And Wales ◽  
Increased Risk ◽  
Hot Weather ◽  
The Impact ◽  
The Relationship

BackgroundSeasonal fluctuation in suicide has been observed in many populations. High temperature may contribute to this, but the effect of short-term fluctuations in temperature on suicide rates has not been studied.AimsTo assess the relationship between daily temperature and daily suicide counts in England and Wales between 1 January 1993 and 31 December 2003 and to establish whether heatwaves are associated with increased mortality from suicide.MethodTime-series regression analysis was used to explore and quantify the relationship between daily suicide counts and daily temperature. The impact of two heatwaves on suicide was estimated.ResultsNo spring or summer peak in suicide was found. Above 18 °, each 1 ° increase in mean temperature was associated with a 3.8 and 5.0% rise in suicide and violent suicide respectively. Suicide increased by 46.9% during the 1995 heatwave, whereas no change was seen during the 2003 heat wave.ConclusionsThere is increased risk of suicide during hot weather.

Predicting in multivariate incomplete time series. Application of the expectation-maximisation algorithm supplemented by the Newton-Raphson method

2021 ◽  
Vol 68 (1) ◽  
pp. 17-46
Author(s):  
Adam Korczyński
Keyword(s):  
Time Series ◽  
Missing Data ◽  
Em Algorithm ◽  
Measurement Errors ◽  
Parameters Estimation ◽  
Maximum Likelihood Estimates ◽  
Original Algorithm ◽  
Expectation Maximisation ◽  
Newton Raphson ◽  
Raphson Method

Statistical practice requires various imperfections resulting from the nature of data to be addressed. Data containing different types of measurement errors and irregularities, such as missing observations, have to be modelled. The study presented in the paper concerns the application of the expectation-maximisation (EM) algorithm to calculate maximum likelihood estimates, using an autoregressive model as an example. The model allows describing a process observed only through measurements with certain level of precision and through more than one data series. The studied series are affected by a measurement error and interrupted in some time periods, which causes the information for parameters estimation and later for prediction to be less precise. The presented technique aims to compensate for missing data in time series. The missing data appear in the form of breaks in the source of the signal. The adjustment has been performed by the EM algorithm to a hybrid version, supplemented by the Newton-Raphson method. This technique allows the estimation of more complex models. The formulation of the substantive model of an autoregressive process affected by noise is outlined, as well as the adjustment introduced to overcome the issue of missing data. The extended version of the algorithm has been verified using sampled data from a model serving as an example for the examined process. The verification demonstrated that the joint EM and Newton-Raphson algorithms converged with a relatively small number of iterations and resulted in the restoration of the information lost due to missing data, providing more accurate predictions than the original algorithm. The study also features an example of the application of the supplemented algorithm to some empirical data (in the calculation of a forecasted demand for newspapers).

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