|The bane of PEF estimation is too much missing data.|
Then all the regression equations disappear. The nonlinear methods are particularly bad because if they don't have a good enough starting location, they can and do go crazy. My only suggestion is to begin with a linear PEF estimator. Shrink the PEF and coarsen the mesh in model space until you do have enough equations. Starting from there, hopefully you can refine this crude solution without dropping into a local minimum.
Another important practical problem remains, that of nonstationarity. We'll see the beginnings of the solution to that problem in chapter .