Temporal disaggregation, missing observations, outliers, and forecasting: A unifying non-model-based procedure

We suggest a simple non-model-based procedure to recover a time series from its temporally aggregated realizations. If additional assumptions on the u nderlying process are introduced, it is shown that the procedure is related to many of the former proposals in the literature. It can also be easily m odified to deal with the estimation of missing observations and outliers, a nd with forecasting. Finally, some important identification issues are disc ussed.