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
EM algorithm for ARIMA models
2 messages · Mathias Martens, Karim Mezhoud
EBarrays http://www.bioconductor.org/packages/release/bioc/html/EBarrays.html ?__ c/ /'_;~~~~kmezhoud (*) \(*) ????? ?????? http://bioinformatics.tn/ On Fri, Nov 7, 2014 at 4:23 PM, Mathias Martens <mathias_m_93 at hotmail.com> wrote:
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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