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• W2162225817 abstract "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 multivariate forecasts with respect to univariate ones. This article presents a simple procedure designed to obtain a consistent estimate of this measure. Its performance is illustrated with Monte Carlo simulations and examples." @default.
• W2162225817 created "2016-06-24" @default.
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• W2162225817 date "2007-11-01" @default.
• W2162225817 modified "2023-10-03" @default.
• W2162225817 title "Measuring the Advantages of Multivariate vs. Univariate Forecasts" @default.
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• W2162225817 doi "https://doi.org/10.1111/j.1467-9892.2007.00538.x" @default.
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