Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Forecast horizon aggregation in integer autoregressive moving average (INARMA) models
AU - Mohammadipour, Maryam
AU - Boylan, John
PY - 2012/12/1
Y1 - 2012/12/1
N2 - This paper addresses aggregation in integer autoregressive moving average (INARMA) models. Although aggregation in continuous-valued time series has been widely discussed, the same is not true for integer-valued time series. Forecast horizon aggregation is addressed in this paper. It is shown that the overlapping forecast horizon aggregation of an INARMA process results in an INARMA process. The conditional expected value of the aggregated process is also derived for use in forecasting. A simulation experiment is conducted to assess the accuracy of the forecasts produced by the aggregation method and to compare it to the accuracy of cumulative h-step ahead forecasts over the forecasting horizon. The results of an empirical analysis are also provided.
AB - This paper addresses aggregation in integer autoregressive moving average (INARMA) models. Although aggregation in continuous-valued time series has been widely discussed, the same is not true for integer-valued time series. Forecast horizon aggregation is addressed in this paper. It is shown that the overlapping forecast horizon aggregation of an INARMA process results in an INARMA process. The conditional expected value of the aggregated process is also derived for use in forecasting. A simulation experiment is conducted to assess the accuracy of the forecasts produced by the aggregation method and to compare it to the accuracy of cumulative h-step ahead forecasts over the forecasting horizon. The results of an empirical analysis are also provided.
KW - Discrete time series
KW - INARMA model
KW - Temporal aggregation
KW - Cross-sectional aggregation
KW - Forecast horizon
KW - Yule-Walker estimation
U2 - 10.1016/j.omega.2011.08.008
DO - 10.1016/j.omega.2011.08.008
M3 - Journal article
VL - 40
SP - 703
EP - 712
JO - Omega: The International Journal of Management Science
JF - Omega: The International Journal of Management Science
SN - 0305-0483
IS - 6
ER -