DIRECT MULTI‐STEP ESTIMATION AND FORECASTING
综述了直接多步预测的文献，分析了其相对于迭代多步预测的优势，包括非平稳性和模型设计的影响，并提供了一个统一框架来理解预测误差来源。
Abstract This paper surveys the literature on multi‐step forecasting when the model or the estimation method focuses directly on the link between the forecast origin and the horizon of interest. Among diverse contributions, we show how the current consensual concepts have emerged. We present an exhaustive overview of the existing results, including a conclusive review of the circumstances favourable to direct multi‐step forecasting, namely different forms of non‐stationarity and appropriate model design. We also provide a unifying framework which allows us to analyse the sources of forecast errors and hence of accuracy improvements from direct over iterated multi‐step forecasting.