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The Prediction of Time Series with Trends and Seasonalities
The Prediction of Time Series with Trends and Seasonalities
RR82-03
Abstract
A maximization of the expected entropy of the predictive distribution interpretation of Akaike's minimum AIC procedure is exploited for the modeling and prediction of time series with trend and seasonal mean value functions and stationary covariance’s. The AIC criterion best one-step-ahead and best twelve-step-ahead prediction models are different. They exhibit the relative optimality properties for which they were designed. The results are related to open questions on optimal trend estimation and optimal seasonal adjustment of time series.
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Related Information
WORKING PAPER
Statistical Research Reports and Studies
Page Last Revised - October 28, 2021
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