Combination of long term and short term forecasts, with application to tourism demand forecasting
AbstractForecast combination is a well-established and well-tested approach for improving the forecasting accuracy. One beneficial strategy is to use constituent forecasts that have diverse information. In this paper we consider the idea of diversity being accomplished by using different time aggregations. For example, we could create a yearly time series from a monthly time series and produce forecasts for both, then combine the forecasts. These forecasts would each be tracking the dynamics of different time scales, and would therefore add diverse types of information. A comparison of several forecast combination methods, performed in the context of this setup, shows that this is indeed a beneficial strategy and generally provides a forecasting performance that is better than the performances of the individual forecasts that are combined. As a case study, we consider the problem of forecasting monthly tourism numbers for inbound tourism to Egypt. Specifically, we consider 33 individual source countries, as well as the aggregate. The novel combination strategy also produces a generally improved forecasting accuracy.
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Bibliographic InfoArticle provided by Elsevier in its journal International Journal of Forecasting.
Volume (Year): 27 (2011)
Issue (Month): 3 (July)
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Web page: http://www.elsevier.com/locate/ijforecast
Time series forecasting Tourism forecasting Tourism demand Forecasting tourism in Egypt Forecast combination Exponential smoothing Holt's model Bayesian forecasting;
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