TY - JOUR
T1 - The covariance structure of sequential forecasts obtained by regression analysis
AU - Venezia, Itzhak
PY - 1981
Y1 - 1981
N2 - A method is presented for evaluating the covariance matrix of a set of sequential forecasts obtained by regression analysis. The matrix can be used to derive the relation between the variance of the forecasts on the one hand, and the lead times between the forecasting time and the time at which the forecasted variables are realized, on the other hand. The determination of this relation is important whenever the optimal frequency of forecasting must be determined.
AB - A method is presented for evaluating the covariance matrix of a set of sequential forecasts obtained by regression analysis. The matrix can be used to derive the relation between the variance of the forecasts on the one hand, and the lead times between the forecasting time and the time at which the forecasted variables are realized, on the other hand. The determination of this relation is important whenever the optimal frequency of forecasting must be determined.
KW - Errors of Forecasting
KW - First-Order Approximations
KW - Forecasts' Lead Times
KW - Maximum Likelihood Methods
KW - Variance of Forecasts
UR - http://www.scopus.com/inward/record.url?scp=49149137233&partnerID=8YFLogxK
U2 - 10.1016/0378-3758(81)90022-7
DO - 10.1016/0378-3758(81)90022-7
M3 - ???researchoutput.researchoutputtypes.contributiontojournal.article???
AN - SCOPUS:49149137233
SN - 0378-3758
VL - 5
SP - 121
EP - 132
JO - Journal of Statistical Planning and Inference
JF - Journal of Statistical Planning and Inference
IS - 2
ER -