Forecast horizon aggregation in integer autoregressive moving average (INARMA) models

Mohammadipour, Maryam and Boylan, John (2012) Forecast horizon aggregation in integer autoregressive moving average (INARMA) models. Omega: The International Journal of Management Science, 40 (6). pp. 703-712. ISSN 0305-0483

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Abstract

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.

Item Type:
Journal Article
Journal or Publication Title:
Omega: The International Journal of Management Science
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1800/1802
Subjects:
ID Code:
72974
Deposited By:
Deposited On:
19 Feb 2015 08:06
Refereed?:
Yes
Published?:
Published
Last Modified:
27 Oct 2020 04:43