Forecasting contemporal time series aggregates

DOI10.1080/03610928108828115MaRDI QIDQ3915871zbMATH OpenOpenAlexFDO

Authors Bovas Abraham, William W. S. Wei

Publication date 1981

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610928108828115

zbMATH Keywords

contemporal aggregate of time seriesHilbert spacepredictionrelative efficiency

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Cited in

(10)

• When is an aggregate of a time series efficiently forecast by its past?
• Combining multiple time series predictors: A useful inferential procedure
• Aggregation of space-time processes.
• Integrated hierarchical forecasting
• Grouped multivariate and functional time series forecasting: an application to annuity pricing
• Parameter changes in a regression model with autocorrelated errors
• Effect of aggregation on the estimation of trend in mortality
• Effects of targets and aggregation on the propagation of error in mortality forecasts
• Comparing aggregate and disaggregate forecasts of first order moving average models
• Linear transformations of vector ARMA processes

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