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A tutorial note on the properties of ARIMA optimal forecasts

Jaqueson Galimberti ()

MPRA Paper from University Library of Munich, Germany

Abstract: Assuming an ARIMA(p,I,q) model represents the data, I show how optimal forecasts can be computed and derive general expressions for its main properties of interest. Namely, I present stepwise derivations of expressions for the variances of forecast errors, and the covariances between them at arbitrary forecasting horizons. Matricial forms for these expressions are also presented to facilitate computational implementation.

Keywords: optimal forecasts; forecasts properties; ARIMA (search for similar items in EconPapers)
JEL-codes: C53 (search for similar items in EconPapers)
Date: 2012-01-10, Revised 2012-07-27
New Economics Papers: this item is included in nep-ets and nep-for
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https://mpra.ub.uni-muenchen.de/40303/1/MPRA_paper_40303.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/40766/1/MPRA_paper_40766.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:40303

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