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...

The paper deals with estimation of missing observations in possibly nonstationary ARIMA models. First, the model is assumed known, and the structure of the interpolation filter is analysed. Using the inverse or dual autocorrelation function it is seen how estimation of a missing observation is...