Note on Using the Integrated Form of ARIMA Forecasts

摘要

Forecasts of ARIMA processes are generally made using the Difference Equation form. This is the approach favoured by Box and Jenkins and most subsequent authors. The purpose of this document is to emphasize that the Integrated Form of the forecast enjoys some important advantages derived from its explicit use of the Eventual Forecast Function (EFF). A brief review of the procedures for obtaining all the necessary components of the Integrated Form is given, and a new and direct method is derived for evaluating the extra coefficients necessary when the EFF does not yield the forecasts for all lead times. (Author)