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Forecasting Contemporaneously Aggregated Vector ARMA Processes

✍ Scribed by Helmut Lütkepohl


Book ID
124697292
Publisher
American Statistical Association
Year
1984
Tongue
English
Weight
553 KB
Volume
2
Category
Article
ISSN
0735-0015

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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