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A central limit theorem for autoregressive integrated moving average processes

✍ Scribed by John E. Angus


Publisher
Elsevier Science
Year
1993
Tongue
English
Weight
558 KB
Volume
17
Category
Article
ISSN
0895-7177

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Multiple forecasts for autoregressive-integrated moving-average (ARIMA) models are useful in many areas such as economics and business forecasting. In recent years, approximation methods to construct simultaneous prediction intervals for multiple forecasts arc developed. These methods were based on