TheStoryofGuadaluperevised.pdf
April 12, 2022
mcom171
April 12, 2022
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three-step ahead ARIMA forecast

 Derive three step-ahead forecasts for an ARMA(1,1) model at the forecast origin h (for a
general positive integer h), i.e, compute rh+3|h = rh(3) = E(rh+3|Ih), where 

 rt = 0 + 1rt1 + at 1at1 with at is iid (0,2a). 

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