Point forecast
Topic of Forecasting, part of Time series
Point forecast
| Type | Topic |
| Taught in | Forecasting |
| Part | Time series |
A single predicted value of a future observation, usually the conditional mean given the series so far. It should be reported with a prediction interval, which widens with the forecast horizon.
In Forecasting
From Forecasting
The theory stopped at the Wold decomposition. This chapter is about using it. Rob Hyndman’s forecast package fits a model and returns a point forecast and a prediction interval. Once the package is installed, the function is left to choose the orders. The point is that the automatic choice does what the autocorrelation plots would have suggested by hand.
Used in
- Taught in Forecasting
- Also used in Dependence along a series
- All 2 questions on Forecasting
See also
Conditional expectation · Accidental-deaths data · Traffic data · Partial autocorrelation · ARIMA model · Unit root · Seasonality · Trend