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Forecasting correlated time series with exponential smoothing models

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  • Corberán-Vallet, Ana
  • Bermúdez, José D.
  • Vercher, Enriqueta
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    Abstract

    This paper presents the Bayesian analysis of a general multivariate exponential smoothing model that allows us to forecast time series jointly, subject to correlated random disturbances. The general multivariate model, which can be formulated as a seemingly unrelated regression model, includes the previously studied homogeneous multivariate Holt-Winters’ model as a special case when all of the univariate series share a common structure. MCMC simulation techniques are required in order to approach the non-analytically tractable posterior distribution of the model parameters. The predictive distribution is then estimated using Monte Carlo integration. A Bayesian model selection criterion is introduced into the forecasting scheme for selecting the most adequate multivariate model for describing the behaviour of the time series under study. The forecasting performance of this procedure is tested using some real examples.

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    Bibliographic Info

    Article provided by Elsevier in its journal International Journal of Forecasting.

    Volume (Year): 27 (2011)
    Issue (Month): 2 ()
    Pages: 252-265

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    Handle: RePEc:eee:intfor:v:27:y:2011:i:2:p:252-265

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    Web page: http://www.elsevier.com/locate/ijforecast

    Related research

    Keywords: Bayesian forecasting; Exponential smoothing; Innovations state space models; Model selection; Monte Carlo methods; Multivariate time series;

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    Cited by:
    1. E. Vercher & A. Corberán-Vallet & J. Segura & J. Bermúdez, 2012. "Initial conditions estimation for improving forecast accuracy in exponential smoothing," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 20(2), pages 517-533, July.

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