Accession Number : AD0741385
Title : Asymptotic Behavior of Time Series Aggregates.
Descriptive Note : Technical rept.,
Corporate Author : WISCONSIN UNIV MADISON DEPT OF STATISTICS
Personal Author(s) : Tiao,G. C.
Report Date : MAR 1972
Pagination or Media Count : 22
Abstract : The paper discusses the efficiency of disaggregation in forecasting time series aggregates. Let be the disaggregated series and XT+(ZMT-m+1 + ... + ZMT) be the m-component aggregated series. Forecasts of future XT may be constructed from data on (i) Zt or (ii) XT. It is shown that, for large m, there is no gain in using the disaggreagated data if Zt is stationary, but dramatic gain can be obtained when Zt is non-stationary. (Author)
Descriptors : (*TIME SERIES ANALYSIS, ASYMPTOTIC SERIES), ANALYSIS OF VARIANCE, POLYNOMIALS, APPROXIMATION(MATHEMATICS), CONVERGENCE, MATHEMATICAL PREDICTION
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE