Forecasting contemporal aggregates of multiple time series |
| |
Authors: | G.C. Tiao Irwin Guttman |
| |
Affiliation: | University of Wisconsin, Madison, WI 53706, USA;University of Toronto, Toronto, Ont. M5S 1A1, Canada |
| |
Abstract: | The paper considers forecasting a contemporal linear aggregate yt of a vector time series Z't =(Z1t,...,Zkt). We first disciss the case where Zt follows a stationary multiple moving average process and propose a measure of the efficiency of aggregation. A necessary and sufficient condition is given for the case of no gain by employing the component series. Extension of the results to stationary multiple autoregressive process and some non-stationarity processes is discussed, and an illustrative example is given. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|