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Forecasting Aggregated Vector ARMA Processes.by Helmut Lutkepohl

✍ Scribed by Review by: E. P. Howrey


Book ID
125224010
Publisher
American Statistical Association
Year
1989
Tongue
English
Weight
662 KB
Volume
84
Category
Article
ISSN
0162-1459

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Forecasting temporally aggregated vector
✍ Helmut Lütkepohl 📂 Article 📅 1986 🏛 John Wiley and Sons 🌐 English ⚖ 618 KB

If interest centres on forecasting a temporally aggregated multiple time series and the generation process of the disaggregate series is a known vector ARMA (autoregressive moving average) process then forecasting the disaggregate series and temporally aggregating the forecasts is at least as effici