La prévision ARMMI multivariée de chronique irrégulières: CS11-614/85-33-PDF

Multivariate ARIMA forecasting of irregular time series /

"The paper shows how smoothing filters can be built into multivariate ARIMA models. The technique can be especially useful for time series with sizable irregular fluctuations. These tend to blurr the relationships between the series, to disturb the forecasts and to underestimate the forecasting performance. The approach proposed circumvents these problems, and is illustrated by joint ARIMA forecasting of the Canadian Composite Leading Indicator and the Index of Industrial Production"--Abstract.

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Department/Agency Statistics Canada. Methodology Branch.
Title La prévision ARMMI multivariée de chronique irrégulières
Subtitle Multivariate ARIMA forecasting of irregular time series /
Series Title Working paper ;
Publication Type Series - View Master Record
Language Bilingual-[English | French]
Format Electronic
Electronic Document

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Note Digitized edition from print [produced by Statistics Canada]. "Working paper TSRA-85-033EF." "Paper presented at The Fifith International Symposium on Forecasting, held in Montréal from June 9 to 12, 1985." "April 1985."
Date 1985.
Number of Pages 27 p.
Catalogue Number
  • CS11-614/85-33-PDF
Departmental Catalogue Number 11-614
Subject Terms Methodology, Statistical analysis