Gómez, Victor; Maravall, Agustin; Peña, Daniel - Banco de España - 1999
The problem of optimal estimation of missing observations in stationary Autoregressive Moving Average (ARMA) models was solved in Jones (1980). Extension of his aproach to nonstationary integrated ARMA (i.e., ARIMA) models posed serious problems, having mostly' to do with the specification of...