THE EFFECT OF AGGREGATION ON PREDICTION IN AUTOREGRESSIVE INTEGRATED MOVING‐AVERAGE MODELS
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Publication:5285833
DOI10.1111/j.1467-9892.1993.tb00143.xzbMath0825.62702OpenAlexW1972391918MaRDI QIDQ5285833
J. Cardoso Neto, Luiz Koodi Hotta
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
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (5)
The use of aggregate time series for testing conditional heteroscedasticity ⋮ Effect of outliers on forecasting temporally aggregated flow variables ⋮ The effect of temporal aggregation on the estimation accuracy of ARMA models ⋮ The effect of temporal aggregation on the estimation accuracy of time series models ⋮ Forecasting with temporal hierarchies
Cites Work
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- Estimating the dimension of a model
- 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
- The Effect of Aggregation on Prediction in the Autoregressive Model
- A new look at the statistical model identification
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