The covariance structure of sequential forecasts obtained by regression analysis

Itzhak Venezia*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)121-132
Number of pages12
JournalJournal of Statistical Planning and Inference
Volume5
Issue number2
DOIs
StatePublished - 1981

Keywords

  • Errors of Forecasting
  • First-Order Approximations
  • Forecasts' Lead Times
  • Maximum Likelihood Methods
  • Variance of Forecasts

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