• Corpus ID: 54748932

DIRECT AUTOREGRESSIVE PREDICTORS FOR MULTISTEP PREDICTION: ORDER SELECTION AND PERFORMANCE RELATIVE TO THE PLUG IN PREDICTORS

@inproceedings{Bhansali1997DIRECTAP,
  title={DIRECT AUTOREGRESSIVE PREDICTORS FOR MULTISTEP PREDICTION: ORDER SELECTION AND PERFORMANCE RELATIVE TO THE PLUG IN PREDICTORS},
  author={Rajendra Bhansali},
  year={1997}
}
A direct method for multistep prediction of a stationary time series con- sists of fitting a new autoregression for each lead time, h, by a linear regression procedure and to select the order to be fitted from the data. By contrast, a more usual 'plug in' method involves the least-squares fitting of an initial kth order autoregression; the multistep forecasts are then obtained from the model equa- tion, but with the unknown future values replaced by their own forecasts. The asymptotic… 
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