Sometimes forecasts of the original variable are of interest, even though a variable appears in logarithms (logs) in a system of time series. In that case, converting the forecast for the log of the variable to a naïve forecast of the original variable by simply applying the exponential...

Many contemporaneously aggregated variables have stochastic aggregation weights. We compare different forecasts for such variables, including univariate forecasts of the aggregate, a multivariate forecast of the aggregate that uses information from the disaggregated components, a forecast which...

The paper investigates whether transforming a time series leads to an improvement in forecasting accuracy. The class of transformations that is considered is the Box–Cox power transformation, which applies to series measured on a ratio scale. We propose a nonparametric approach for estimating...