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| Author: | Pankratz, A. |
| Title: | Time series forecasts and extra-model information. |
| Journal: | Journal of Forecasting
1989 : APR-JUN, VOL. 8:2, p. 75-83 |
| Index terms: | TIME SERIES FORECASTING INFORMATION |
| Language: | eng |
| Abstract: | Often a forecaster has supplementary information (e.g. field reports or forecasts from another source) that cannot be included directly in a time series model. There are important cases where this information is given at time intervals that are different from those of the time series model forecasts. Previously a numerical and a model-based statistical method have been considered in order to combine extra-model information of this type with ARIMA model forecasts. This time both methods are extended to vector ARIMA model forecasts and dynamic regression (transfer function) model forecasts. It is shown how a Lagrange multiplier procedure arises as a special case. An empirical example is given. |
SCIMA