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Optimal conditional ARIMA forecasts

✍ Scribed by Víctor M. Guerrero

Publisher
John Wiley and Sons
Year
1989
Tongue
English
Weight
657 KB
Volume
8
Category
Article
ISSN
0277-6693

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✦ Synopsis

An optimal univariate forecast, based on historical and additional information about the future, is obtained in this paper. Its statistical properties, as well as some inferential procedures derived from it, are indicated. Two main situations are considered explicitly: (1) when the additional information imposes a constraint to be fulfilled exactly by the forecasts and (2) when the information is only a conjecture about the future values of the series or a forecast from an alternative model. Theoretical and empirical illustrations are provided, and a unification of the existing methods is also attempted.

KEY WORDS ARIMA models Combination of forecasts

Minimum mean-square error Prior information Quadratic minimization Time series

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