Abstract: Background: This study proposed a method for the estimation of missing values in a stationary autoregressive (AR) process and proved the unbiasedness of the obtained estimate. Materials and Methods: Box and Jenkins autoregressive integrated moving average (ARIMA) was employed for order selection in the analysis. Absolute deviation of estimates from actual values was used as basis of comparisons with existing methods. Results: The result showed that the proposed method provides better estimates than the existing methods. Minimum mean square error of the estimate was also obtained theoretically and the estimate was found to be unbiased. Conclusion: Since the estimate obtained by this method is found to be unbiased, the method has offered another framework of with missing values in a stationary autoregressive (AR) process.