Multi‐Step Forecasting

R. J. Bhansali

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Forecasting Techniques and Applications Time Series Analysis and Forecasting Statistical and numerical algorithms

Abstract

This chapter contains section titled: INTRODUCTION A MOTIVATING EXAMPLE GENERALIZATIONS AND EXTENSIONS DIRECT METHOD FOR AUTOREGRESSIVE MODELS MULTI-STEP PARAMETER ESTIMATION METHODS DIRECT METHOD FOR ARMA MODELS CHECKING MODEL ADEQUACY FOR MULTI-STEP PREDICTION SIMULATION RESULTS

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References

1961Prediction by Exponentially Weighted Moving Averages and Related Methods 1999Broadband log-periodogram regression of time series with long-range dependence 1976Asymptotic Mean Square Prediction Error for an Autoregressive Model with Estimated Coefficients 1996MULTI‐STEP ESTIMATION FOR FORECASTING 1993Robustness of Maximum Likelihood Estimates for Multi-Step Predictions: The Exponential Smoothing Case 1991Multi-step estimation and forecasting in dynamic models 1997DIRECT AUTOREGRESSIVE PREDICTORS FOR MULTISTEP PREDICTION: ORDER SELECTION AND PERFORMANCE RELATIVE TO THE PLUG IN PREDICTORS

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