When is an aggregate of a time series efficiently forecast by its past?
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Publication:1165546
DOI10.1016/0304-4076(82)90087-2zbMath0487.62083MaRDI QIDQ1165546
Publication date: 1982
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(82)90087-2
prediction; necessary and sufficient conditions; Gaussian stationary process; autoregression; linear combination of elements of vector time series
62P20: Applications of statistics to economics
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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