A Regression Surprise Resolved
7 Pages Posted: 23 Sep 2008
Date Written: September 22, 2008
In this note we explore the following surprising fact: In regression with trend and seasonality, the prediction risk is constant for all seasons of a new cycle, despite the fact that it increases with time when the seasons are left out. Awareness of this may be useful to both the practicing statistician and to teachers of statistics. The challenge of resolving the issue may also be given to students of statistics as a research project.
Keywords: Trend and seasonality, Prediction risk, Paradox
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