Forecasting contemporal time series aggregates |
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| Authors: | William W.S. Wei Bovas Abraham |
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| Affiliation: | 1. Department of Statistics , Temple University ,;2. Department of Statistics , University of Waterloo , |
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| Abstract: | Forecast of a contemporal aggregate of several time series can be obtained from ‘1’ an aggregate series, ‘2’ individual component processes, or ‘3’ a joint multiple forecasting model. Through general Hilbert space theory and some illustrative examples, this paper establishes the relative efficiencies among the three methods |
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