Vector Joint Model versus Univariate Component Models 

Get hourly temperature readings for May 2014 in Champaign, Illinois.

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Use TimeSeriesAggregate to calculate daily minimum and maximum temperatures.

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Combine them into a vector time series.

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The first part of the data will be used to find a model, while the rest of the data will serve as a reference set for the forecast.

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The temperatures are cross-correlated.

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Fit a vector model to the data.

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Forecast the next 5 days.

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Find univariate models of the same type but longer orders for both temperatures separately.

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Combine univariate forecasts for plotting.

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Compare the forecasts.

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Plot the vector forecast and the 95% confidence bands.

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Plot the univariate forecasts and the 95% confidence bands.

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Compare both forecasts and the corresponding confidence bands.

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