Galimberti, Jaqueson K. (2012): A tutorial note on the properties of ARIMA optimal forecasts.
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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.
|Item Type:||MPRA Paper|
|Original Title:||A tutorial note on the properties of ARIMA optimal forecasts|
|Keywords:||optimal forecasts; forecasts properties; ARIMA|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods|
|Depositing User:||Jaqueson Kingeski Galimberti|
|Date Deposited:||20 Aug 2012 23:28|
|Last Modified:||29 Apr 2016 22:48|
Box, G. E. P., G. M. Jenkins, and G. C. Reinsel (2008). Time Series Analysis: Forecasting and Control (4th ed.). Wiley.
Hamilton, J. D. (1994). Time Series Analysis. Princeton University Press.
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A tutorial note on the properties of ARIMA optimal forecasts. (deposited 29 Jul 2012 04:18)
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