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Linear combination of restrictions and forecasts in time series analysis

✍ Scribed by Victor M. Guerrero; Daniel Peña

Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
212 KB
Volume
19
Category
Article
ISSN
0277-6693

No coin nor oath required. For personal study only.

✦ Synopsis

An important tool in time series analysis is that of combining information in an optimal way. Here we establish a basic combining rule of linear predictors and show that such problems as forecast updating, missing value estimation, restricted forecasting with binding constraints, analysis of outliers and temporal disaggregation can be viewed as problems of optimal linear combination of restrictions and forecasts. A compatibility test statistic is also provided as a companion tool to check that the linear restrictions are compatible with the forecasts generated from the historical data.

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