Forecasting Process Details

Missing Values

When a missing value is encountered at time ${t}$, the smoothed values are updated using the error-correction form of the smoothing equations with the one-step-ahead prediction error, ${e_{t}}$, set to zero. The missing value is estimated using the one-step-ahead prediction at time ${t-1}$, that is ${\hat{Y}_{t-1}(1)}$ (Aldrin and Damsleth, 1989). The error-correction forms of each of the smoothing models are listed in the following sections.