Unit 22 Forecasting setting

Forecast predicts future behavior given finite reaizations. ARMA forecasting has gotten really populat lately.

• Curve fitting

  • Has the underlying assumption that future behavior follows a deterministic path

• Time series based forecasting (ARMA et al)

  • Underlying assumption that the future is only guided by its correlation to the past.

22.1 Box-Jenkins approach

We use this