Recent content by Brandon

  1. B

    Forecasting variance (several time steps ahead)

    Suppose I'm modeling a daily time series --let's say it's a random walk with drift and I'm using an ARIMA model-- and I want to do a forecast. Let's label today as 'time T' and suppose I want to forecast 5 days out, so 'T+5'. I'm not really interested in the point estimate of the forecast...