[R] EM algorithm for ARIMA models

Karim Mezhoud kmezhoud at gmail.com
Fri Nov 7 21:51:37 CET 2014


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On Fri, Nov 7, 2014 at 4:23 PM, Mathias Martens <mathias_m_93 at hotmail.com>

> 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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