Browsing by Author "Ojeda Echeverri, César Andrés"

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    Analysis of irregularly spaced time series
    (2019) Ojeda Echeverri, César Andrés; Palma M., Wilfredo; Pontificia Universidad Católica de Chile. Facultad de Matemáticas
    In this thesis, we propose novel stationary time series models that can be used when the observations are taken on irregularly spaced times. First, we present a model with a firstorder moving average structure, and then we generalized it to consider an autoregressive component. We called the first model irregularly spaced first-order moving average and the second one irregularly spaced first-order autoregressive moving average. Their definitions and properties are established. We present their state-space representations and their one-step linear predictors. The behavior of the maximum likelihood estimator is studied through Monte Carlo experiments. Illustrations are presented with real and simulated data.