Accession Number:

AD0741385

Title:

Asymptotic Behavior of Time Series Aggregates.

Descriptive Note:

Technical rept.,

Corporate Author:

WISCONSIN UNIV MADISON DEPT OF STATISTICS

Personal Author(s):

• Tiao,G. C.

Report Date:

1972-03-01

Pagination or Media Count:

22.0

Abstract:

The paper discusses the efficiency of disaggregation in forecasting time series aggregates. Let be the disaggregated series and XTZMT-m1 ... ZMT be the m-component aggregated series. Forecasts of future XT may be constructed from data on i Zt or ii XT. It is shown that, for large m, there is no gain in using the disaggreagated data if Zt is stationary, but dramatic gain can be obtained when Zt is non-stationary. Author

Descriptors:

• (*TIME SERIES ANALYSIS
• ASYMPTOTIC SERIES)
• ANALYSIS OF VARIANCE
• POLYNOMIALS
• APPROXIMATION(MATHEMATICS)
• CONVERGENCE
• MATHEMATICAL PREDICTION

Subject Categories:

• Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE