Comparing aggregate and disaggregate forecasts of first order moving average models

DOI10.1007/s00362-010-0333-6zbMath1440.62337OpenAlexW2157600131MaRDI QIDQ452321

Giacomo Sbrana, Andrea Silvestrini

Publication date: 20 September 2012

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-010-0333-6

zbMATH Keywords

forecastingcontemporaneous aggregationvector moving average models

Mathematics Subject Classification ID

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

Cites Work

• Linear aggregation of vector autoregressive moving average processes
• Linear transformations of vector ARMA processes
• Forecasting contemporal aggregates of multiple time series
• When is an aggregate of a time series efficiently forecast by its past?
• Forecasting aggregates of independent ARIMA processes
• Forecasting contemporal time series aggregates
• Practical estimation from the sum of ar(1) processes

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