A Note on Using the Integrated Form of ARIMA Forecasts.

Abstract

Forecasts of ARIMA processes are generally made using the Difference Equation form. This is the approach favoured by Box and Jenkins and most subsequent authors. The purpose of this document is to emphasize that the Integrated Form of the forecast enjoys some important advantages derived from its explicit use of the Eventual Forecast Function (EFF). A brief review of the procedures for obtaining all the necessary components of the Integrated Form is given, and a new and direct method is derived for evaluating the extra coefficients necessary when the EFF does not yield the forecasts for all lead times. (Author)

Open PDF

Document Details

Document Type
Technical Report
Publication Date
Aug 01, 1984
Accession Number
ADA146965

Entities

People

  • E. Mckenzie

Organizations

  • Naval Postgraduate School

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Books
  • California
  • Coefficients
  • Delphi Method
  • Difference Equations
  • Equations
  • Lead Time
  • Observation
  • Scheduling (Production)
  • Schools
  • Test And Evaluation
  • Textbooks
  • Time Series Analysis

Readers

  • Calculus or Mathematical Analysis
  • Statistical inference.
  • Systems Analysis and Design