Forecasting contemporal aggregates of multiple time series

DOI10.1016/0304-4076(80)90008-1zbMath0435.62099OpenAlexW2038174893MaRDI QIDQ1140395

Irwin Guttman, George C. Tiao

Publication date: 1980

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(80)90008-1

zbMATH Keywords

predictionmoving average modelscomponent seriesforecasting contemporal aggregates of multiple time seriesrelative efficiency of aggretation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric inference (62G99)

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Cites Work

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• Forecasting aggregates of independent ARIMA processes
• Note on Convenient Matrix Notations in Multivariate Statistical Analysis and in the Theory of Linear Aggregation