La prévision ARMMI multivariée de chronique irrégulières = Multivariate ARIMA forecasting of irregular time series / by Pierre A. Choquette and Robert Lamy. : CS11-614/85-33-PDF
"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.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.837651&sl=1
| Ministère/Organisme | Canada. Statistics Canada. Methodology Branch. |
|---|---|
| Titre | La prévision ARMMI multivariée de chronique irrégulières = Multivariate ARIMA forecasting of irregular time series / by Pierre A. Choquette and Robert Lamy. |
| Variante du titre | Multivariate arima forecasting of irregular time series |
| Titre de la série | Working paper ; 85-33 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | Bilingue-[Anglais | Français] |
| Format | Électronique |
| Document électronique | |
| Note(s) | 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." Includes bibliographic references. Text in English and in French. |
| Information sur la publication | Ottawa : Statistics Canada, 1985. |
| Auteur / Contributeur | Cholette, Pierre-A. (Pierre-Arthur), 1948- Lamy, Robert. |
| Description | 27 p. |
| Numéro de catalogue |
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| Numéro de catalogue du ministère | 11-614 |
| Descripteurs | Methodology Statistical analysis |