Forecasting contemporal time series aggregates
- 1 January 1981
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Theory and Methods
- Vol. 10 (13) , 1335-1344
- https://doi.org/10.1080/03610928108828115
Abstract
Forecast of a contemporal aggregate of several time series can be obtained from ‘1’ an aggregate series, ‘2’ individual component processes, or ‘3’ a joint multiple forecasting model. Through general Hilbert space theory and some illustrative examples, this paper establishes the relative efficiencies among the three methodsKeywords
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