THE EFFECT OF AGGREGATION ON PREDICTION IN AUTOREGRESSIVE INTEGRATED MOVING‐AVERAGE MODELS

DOI10.1111/J.1467-9892.1993.TB00143.XzbMATH Open0825.62702OpenAlexW1972391918MaRDI QIDQ5285833FDOQ5285833

Authors: Luiz Koodi Hotta, J. Cardoso Neto 

Publication date: 29 June 1993

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00143.x

Mathematics Subject Classification ID

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

Cites Work

• Estimating the dimension of a model
• A new look at the statistical model identification
• Title not available (Why is that?)
• The Effect of Aggregation on Prediction in the Autoregressive Model
• Title not available (Why is that?)
• Properties of Predictors in Misspecified Autoregressive Time Series Models
• Effects of not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction-1

Cited In (5)

• Forecasting with temporal hierarchies
• The effect of temporal aggregation on the estimation accuracy of time series models
• Effect of outliers on forecasting temporally aggregated flow variables
• The use of aggregate time series for testing conditional heteroscedasticity
• The effect of temporal aggregation on the estimation accuracy of ARMA models

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