Forecasting intraday time series with multiple seasonal cycles using parsimonious seasonal exponential smoothing
AbstractThis paper concerns the forecasting of seasonal intraday time series that exhibit repeating intraweek and intraday cycles. A recently proposed exponential smoothing method involves smoothing a different intraday cycle for each distinct type of day of the week. Similar days are allocated identical intraday cycles. A limitation is that the method allows only whole days to be treated as identical. We introduce a new exponential smoothing formulation that allows parts of different days of the week to be treated as identical. The result is a method that involves the smoothing and initialisation of fewer terms. We evaluate forecasting up to a day ahead using two empirical studies. For electricity load data, the new method compares well with a range of alternatives. The second study involves a series of arrivals at a call centre that is open for a shorter duration at the weekends than on weekdays. Among the variety of methods considered, the new method is the only one that can model in a satisfactory way in this situation, where the number of periods on each day of the week is not the same.
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Bibliographic InfoArticle provided by Elsevier in its journal Omega.
Volume (Year): 40 (2012)
Issue (Month): 6 ()
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/375/description#description
Other versions of this item:
- James W. Taylor & Ralph D. Snyder, 2009. "Forecasting Intraday Time Series with Multiple Seasonal Cycles Using Parsimonious Seasonal Exponential Smoothing," Monash Econometrics and Business Statistics Working Papers 9/09, Monash University, Department of Econometrics and Business Statistics.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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