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Linear transformations of vector ARMA processes

✍ Scribed by Helmut Lütkepohl

Book ID
107949890
Publisher
Elsevier Science
Year
1984
Tongue
English
Weight
584 KB
Volume
26
Category
Article
ISSN
0304-4076

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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