Decision Sciences
8 years ago

Univariate ARIMA vs. Multivariate ARIMA: Which Forecasting Method Reigns Supreme?

Working paper
Comparison of Univariate ARIMA, Multivariate ARIMA and Vector Autoregression Forecasting
Michael Bagshaw

Paper Summary

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The article compares different methods for predicting future trends in data: univariate ARIMA, multivariate ARIMA, and VAR. It looks at whether it's better to adjust the data before making predictions.