Parsimony and Its Importance in Time Series Forecasting
- 1 November 1981
- journal article
- research article
- Published by JSTOR in Technometrics
- Vol. 23 (4) , 411
- https://doi.org/10.2307/1268232
Abstract
The effect of nonparsimonious time series models is studied by deriving the approximate variance of the one-step-ahead forecast error. Also, in a simulation experiment we show the loss in forecast accuracy that can result when a first-order moving-average model is approximated by a nonparsimonious autoregressive model.Keywords
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