Asymptotic Behavior of Time Series Aggregates.

Abstract

The paper discusses the efficiency of disaggregation in forecasting time series aggregates. Let be the disaggregated series and XT+(ZMT-m+1 + ... + ZMT) be the m-component aggregated series. Forecasts of future XT may be constructed from data on (i) Zt or (ii) XT. It is shown that, for large m, there is no gain in using the disaggreagated data if Zt is stationary, but dramatic gain can be obtained when Zt is non-stationary. (Author)

Document Details

Document Type
Technical Report
Publication Date
Mar 01, 1972
Accession Number
AD0741385

Entities

People

  • G. C. Tiao

Organizations

  • University of Wisconsin–Madison

Tags

DTIC Thesaurus Topics

  • Delphi Method
  • Efficiency
  • Stationary

Fields of Study

  • Mathematics

Readers

  • Analytical Mechanics
  • Pavement Materials Engineering.
  • Regression Analysis.