Comparison of Two Estimation Methods of Missing Values Using Pitman-Closeness Criterion

Abstract

In this article, a proof is given that the linear interpolator is Pitman-closer than the linear predictor with respect to a missing value of a stationary first-order autoregressive process.

Keywords:

• Autoregressive model
• Missing value
• Pitman-closeness

Mathematics Subject Classification:

• 62M10
• 62F35

Acknowledgment

We wish to thank the reviewer for helpful comments.