The University of Liverpool
Department of Mathematical Sciences
Division of Statistics and Probability
SEMINAR
Measuring the Advantages of Multivariate versus Univariate Forecasts
Professor Daniel Peņa
Universidad Carlos III de Madrid
Wednesday, 26th April 2006, 2pm
The Whittaker Room (211)
Abstract:
Suppose we are interested in forecasting a time series and in addition to
the time series data we have data from many time series related to the one
we want to forecast. Since building a dynamic multivariate model for the
set of time series can be a complex task, it is important to measure in
advance the increase in precision to be attained by using the multivariate
forecasts with respect to the univariate ones. This work presents a simple
procedure designed to obtain a consistent estimate of this measure. Its
performance is illustrated with Monte Carlo simulations and three examples.
Key words: ARIMA models, Dynamic regression models, Prediction, VARMA
models.
Following the talk, tea and biscuits will be available in Room 304
ALL WELCOME
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Ingrid Harper
University of Liverpool
Department of Mathematical Sciences
Division of Statistics and Probability
Mathematical Sciences Building
Peach Street
Liverpool L69 7ZL
Tel: 0151 794 4751
Fax: 0151 794 4754
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