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Linear combination of information in time series analysis

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  • Guerrero, Víctor M.

Abstract

An important tool in time series analysis is that of combining information in an optimal manner. Here we establish a basic combining rule of linear estimators and exemplify its use with several different problems faced by a time series analyst. A compatibility test statistic is also provided as a companion of the combining rule. This statistic plays a fundamental role for obtaining sensible results from the combination and for pointing out sorne possibly new directions of analysis.

Suggested Citation

  • Guerrero, Víctor M., 1995. "Linear combination of information in time series analysis," DES - Working Papers. Statistics and Econometrics. WS 10340, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:10340
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    References listed on IDEAS

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    1. Guerrero, Victor M., 1991. "ARIMA forecasts with restrictions derived from a structural change," International Journal of Forecasting, Elsevier, vol. 7(3), pages 339-347, November.
    2. S. R. Brubacher & G. Tunnicliffe Wilson, 1976. "Interpolating Time Series with Application to the Estimation of Holiday Effects on Electricity Demand," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 25(2), pages 107-116, June.
    3. Palm, F. & Zellner, A., 1991. "To combine or not to combine? issues of combining forecasts," LIDAM Discussion Papers CORE 1991022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    4. Pena, Daniel, 1990. "Influential Observations in Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 235-241, April.
    5. Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-375, November.
    6. Gómez, Víctor & Maravall, Agustín, 1993. "Computing missing values in time series," DES - Working Papers. Statistics and Econometrics. WS 3737, Universidad Carlos III de Madrid. Departamento de Estadística.
    7. Daniel O. Stram & William W. S. Wei, 1986. "A Methodological Note On The Disaggregation Of Time Series Totals," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(4), pages 293-302, July.
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