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

DOI10.1111/J.1467-9892.1993.TB00143.XMaRDI QIDQ5285833zbMATHOpenAlexFDO

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

• scientific article; zbMATH DE number 48318 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• A new look at the statistical model identification
• Effects of not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction-1
• Estimating the dimension of a model
• Properties of Predictors in Misspecified Autoregressive Time Series Models
• The Effect of Aggregation on Prediction in the Autoregressive Model

Cited in

(5)

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

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