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Optimal conditional ARIMA forecasts
Author(s) -
Guerrero Víctor M.
Publication year - 1989
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.3980080307
Subject(s) - univariate , econometrics , unification , autoregressive integrated moving average , series (stratigraphy) , constraint (computer aided design) , computer science , statistics , mathematics , time series , multivariate statistics , paleontology , geometry , biology , programming language
An optimal univariate forecast, based on historical and additional information about the future, is obtained in this paper. Its statistical properties, as well as some inferential procedures derived from it, are indicated. Two main situations are considered explicitly: (1) when the additional information imposes a constraint to be fulfilled exactly by the forecasts and (2) when the information is only a conjecture about the future values of the series or a forecast from an alternative model. Theoretical and empirical illustrations are provided, and a unification of the existing methods is also attempted.