| Publication type: | Article in scientific journal |
| Type of review: | Peer review (publication) |
| Title: | Multi-step-ahead estimation of time series models |
| Authors: | McElroy, Tucker Wildi, Marc |
| DOI: | 10.1016/j.ijforecast.2012.08.003 |
| Published in: | International Journal of Forecasting |
| Volume(Issue): | 29 |
| Issue: | 3 |
| Page(s): | 378 |
| Pages to: | 394 |
| Issue Date: | 2013 |
| Publisher / Ed. Institution: | Elsevier |
| ISSN: | 0169-2070 1872-8200 |
| Language: | English |
| Subject (DDC): | 003: Systems 510: Mathematics |
| Abstract: | We study the fitting of time series models via the minimization of a multi-step-ahead forecast error criterion that is based on the asymptotic average of squared forecast errors. Our objective function uses frequency domain concepts, but is formulated in the time domain, and allows the estimation of all linear processes (e.g., ARIMA and component ARIMA). By using an asymptotic form of the forecast mean squared error, we obtain a well-defined nonlinear function of the parameters that is proven to be minimized at the true parameter vector when the model is correctly specified. We derive the statistical properties of the parameter estimates, and study the asymptotic impact of model misspecification on multi-step-ahead forecasting. The method is illustrated through a forecasting exercise, applied to several time series. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/13640 |
| Fulltext version: | Published version |
| License (according to publishing contract): | Licence according to publishing contract |
| Departement: | School of Engineering |
| Organisational Unit: | Institute of Data Analysis and Process Design (IDP) |
| Appears in collections: | Publikationen School of Engineering |
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McElroy, T., & Wildi, M. (2013). Multi-step-ahead estimation of time series models. International Journal of Forecasting, 29(3), 378–394. https://doi.org/10.1016/j.ijforecast.2012.08.003
McElroy, T. and Wildi, M. (2013) ‘Multi-step-ahead estimation of time series models’, International Journal of Forecasting, 29(3), pp. 378–394. Available at: https://doi.org/10.1016/j.ijforecast.2012.08.003.
T. McElroy and M. Wildi, “Multi-step-ahead estimation of time series models,” International Journal of Forecasting, vol. 29, no. 3, pp. 378–394, 2013, doi: 10.1016/j.ijforecast.2012.08.003.
MCELROY, Tucker und Marc WILDI, 2013. Multi-step-ahead estimation of time series models. International Journal of Forecasting. 2013. Bd. 29, Nr. 3, S. 378–394. DOI 10.1016/j.ijforecast.2012.08.003
McElroy, Tucker, and Marc Wildi. 2013. “Multi-Step-Ahead Estimation of Time Series Models.” International Journal of Forecasting 29 (3): 378–94. https://doi.org/10.1016/j.ijforecast.2012.08.003.
McElroy, Tucker, and Marc Wildi. “Multi-Step-Ahead Estimation of Time Series Models.” International Journal of Forecasting, vol. 29, no. 3, 2013, pp. 378–94, https://doi.org/10.1016/j.ijforecast.2012.08.003.
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