Prediction Loss

Learn about forecast errors and loss functions.

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The ultimate goal of ARIMA models is forecasting and, in particular, point forecasting. Assume that we’ve got a time series yty_t with a total of TT observations. With point forecasting, we aim to get the best possible guess for the value of yty_t, hh steps into the future. That is, we want to predict yT+hy_{T+h}.

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