Munich Personal RePEc Archive

A tutorial note on the properties of ARIMA optimal forecasts

Galimberti, Jaqueson K. (2012): A tutorial note on the properties of ARIMA optimal forecasts.

This is the latest version of this item.

[img]
Preview
PDF
MPRA_paper_40766.pdf

Download (140Kb) | Preview

Abstract

Assuming an ARIMA(p,I,q) model represents the data, I show how optimal forecasts can be computed and derive general expressions for its main properties of interest. Namely, I present stepwise derivations of expressions for the variances of forecast errors, and the covariances between them at arbitrary forecasting horizons. Matricial forms for these expressions are also presented to facilitate computational implementation.

Available Versions of this Item

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.