Linear Time Series Prediction Flashcards
1
Q
AR(1) forecasting
the multiple step ahead forecast ˆ
rT+h converges
A
to the
unconditional mean of the process as h goes to infinity
2
Q
AR(1) Forecasting
The variance of the forecast error eT+h converges to
A
the unconditional variance of the process as h increases
3
Q
MA(1) FORECASTING REMARKS
The multiple step ahead forecasts rT+h converges to
A
the unconditional mean after 1 period (in general for an MA(q), after q periods)
4
Q
MA(1) FORECASTING
The variance of the forecast error eT+h converges to
A
the unconditional variance of the process after 1 period (in general for an MA(q), after q periods)
5
Q
MA(q) forecasting
For the MA(q), all prediction at horizon h > q are equal to
A
the unconditional mean
6
Q
A
7
Q
A
8
Q
A
9
Q
A
10
Q
A
11
Q
A
