Smoothed estimates for nonlinear time series models with irregular data

Abstract

Time series data observed at unequal time intervals (irregular data) occur quite often and this usually poses problems in its analysis. A recursive form of the exponentially smoothed estimated is here proposed for a nonlinear model with irregularly observed data and its asymptotic properties are discussed An alternative smoother to that of Wright (1985) is also derived. Numerical comparison is made between the resulting estimates and other smoothed estimates.

Keywords:

• Recursive smoothing
• irregular data
• almost sure convergence
• asymptotic normality