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)
Rights
This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.NPS Report Number
NPS55-84-015Related items
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