You are not currently logged in.
Access JSTOR through your library or other institution:
The Effects of Parameter Misspecification and Non-Stationarity on the Applicability of Adaptive Forecasts
Vol. 12, No. 9, Series A, Sciences (May, 1966), pp. 659-669
Published by: INFORMS
Stable URL: http://www.jstor.org/stable/2627943
Page Count: 11
You can always find the topics here!Topics: Analytical forecasting, Time series forecasting, Stochastic processes, Forecasting techniques, Stochastic models, Parametric models, Statistical forecasts, Modeling, Statistical estimation, Statistical variance
Were these topics helpful?See somethings inaccurate? Let us know!
Select the topics that are inaccurate.
Preview not available
A "blowup factor" is defined for the measurement of the effect on forecast error variance of two types of misspecification which may be implicit in the choice of a particular adaptive forecasting scheme: (1) misspecification of the number of non-zero parameters of the stationary linear stochastic process generating the observed time series, and (2) misspecification arising from postulating stationarity when in fact the generating process is non-stationary in mean.
Management Science © 1966 INFORMS