Forecasting contemporal aggregates of multiple time series

DOI10.1016/0304-4076(80)90008-1MaRDI QIDQ1140395zbMATH OpenOpenAlexFDO

Authors George C. Tiao, Irwin Guttman

Publication date 1980

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

Full work available at URL https://doi.org/10.1016/0304-4076(80)90008-1

zbMATH Keywords

predictionmoving average modelscomponent seriesforecasting contemporal aggregates of multiple time seriesrelative efficiency of aggretation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Nonparametric inference (62G99)

Cites work

• scientific article; zbMATH DE number 3179103 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• scientific article; zbMATH DE number 3092208 (Why is no real title available?)
• Forecasting aggregates of independent ARIMA processes
• Note on Convenient Matrix Notations in Multivariate Statistical Analysis and in the Theory of Linear Aggregation

Cited in

(9)

• When is an aggregate of a time series efficiently forecast by its past?
• Linear transformations of vector ARMA processes
• The implications of periodically varying coefficients for seasonal time- series processes
• Comparing aggregate and disaggregate forecasts of first order moving average models
• Application of wavelet decomposition in time-series forecasting
• Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
• Optimal combination forecasts for hierarchical time series
• Effect of aggregation on the estimation of trend in mortality
• Integrated hierarchical forecasting

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