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Multiple-output modeling for multi-step-ahead time series forecasting

✍ Scribed by Souhaib Ben Taieb; Antti Sorjamaa; Gianluca Bontempi


Book ID
113816446
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
385 KB
Volume
73
Category
Article
ISSN
0925-2312

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✍ Philip Hans Franses πŸ“‚ Article πŸ“… 1996 πŸ› John Wiley and Sons 🌐 English βš– 642 KB

A periodically integrated (PI) time series process assumes that the stochastic trend can be removed using a seasonally varying differencing filter. In this paper the multi-step forecast error variances are derived for a quarterly PI time series when low-order periodic autoregressions adequately desc