Forecast intervals for aggregates

September 14, 2016
By

(This article was first published on R on Rob J Hyndman, and kindly contributed to R-bloggers)

A common problem is to forecast the aggregate of several time periods of data, using a model fitted to the disaggregated data. For example, you may have monthly data but wish to forecast the total for the next year. Or you may have weekly data, and want to forecast the total for the next four weeks.
If the point forecasts are means, then adding them up will give a good estimate of the total.

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