Forecasting multivariate time series with the theta method

DOI10.1002/FOR.2334MaRDI QIDQ4687544zbMATH OpenOpenAlexFDO

Authors Konstantinos Nikolopoulos, Dimitrios Thomakos

Publication date 12 October 2018

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

Full work available at URL http://www.bangor.ac.uk/business/research/documents/BBSWP13004.pdf

zbMATH Keywords

multivariate time seriesunit rootsunivariatevector forecasting

Mathematics Subject Classification ID

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

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Cited in

(4)

• Generalizing the Theta method for automatic forecasting
• Measuring the Advantages of Multivariate vs. Univariate Forecasts
• Forecasting with the Theta Method
• Fathoming the theta method for a unit root process

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