The covariance structure of sequential forecasts obtained by regression analysis |
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| Authors: | Itzhak Venezia |
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| Institution: | The Hebrew University of Jerusalem, Jerusalem, Israel;The University of Rochester, USA |
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| Abstract: | A method is presented for evaluating the covariance matrix of a set of sequential forecasts obtained by regression analysis. The matrix can be used to derive the relation between the variance of the forecasts on the one hand, and the lead times between the forecasting time and the time at which the forecasted variables are realized, on the other hand. The determination of this relation is important whenever the optimal frequency of forecasting must be determined. |
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| Keywords: | Errors of Forecasting First-Order Approximations Variance of Forecasts Maximum Likelihood Methods Forecasts' Lead Times |
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