Message-ID: <COL128-W70681A48F7E0B12CC7638AC3850@phx.gbl>
Date: 2014-11-07T15:23:37Z
From: Mathias Martens
Subject: EM algorithm for ARIMA models
Hi there,I am working on a time series dataset with a lot of missing data (around60%).Specifically, I need to fit an ARIMA model to this data and I found thatExpectation-Maximization (EM) algorithm using Kalman filter could beusefull.Anyone know if already exist a package for this?Another approaches are usefull as well.
Thanks,Mathias Martens
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