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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, et, 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)}(refer to Aldrin 1989). The error-correction forms of each of the smoothing models are listed in the following sections.

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