Forecasting aggregates of independent ARIMA processes

DOI10.1016/0304-4076(77)90043-4MaRDI QIDQ1246990zbMATH OpenOpenAlexFDO

Authors David E. V. Rose

Publication date 1977

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(77)90043-4

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Cites work

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• Estimation and Prediction from Aggregate Data when Aggregates are Measured More Accurately than Their Components
• O a lemma associated with Box, Jenkins and Granger

Cited in

(11)

• Forecasting contemporal aggregates of multiple time series
• DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA
• Component extraction analysis of multivariate time series
• Linear transformations of vector ARMA processes
• RANDOM AGGREGATION OF UNIVARIATE AND MULTIVARIATE LINEAR PROCESSES
• The implications of periodically varying coefficients for seasonal time- series processes
• Comparing aggregate and disaggregate forecasts of first order moving average models
• On prediction of integrated moving average processes
• IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS
• Effect of aggregation on the estimation of trend in mortality
• Aggregation in large dynamic panels

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