Forecasting aggregates of independent ARIMA processes

DOI10.1016/0304-4076(77)90043-4zbMath0378.62084OpenAlexW2085794166MaRDI QIDQ1246990

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

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

Related Items

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

Cites Work

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