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Automatic forecasting with a modified exponential smoothing state space framework

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  • Alysha M De Livera

Abstract

A new automatic forecasting procedure is proposed based on a recent exponential smoothing framework which incorporates a Box-Cox transformation and ARMA residual corrections. The procedure is complete with well-defined methods for initialization, estimation, likelihood evaluation, and analytical derivation of point and interval predictions under a Gaussian error assumption. The algorithm is examined extensively by applying it to single seasonal and non-seasonal time series from the M and the M3 competitions, and is shown to provide competitive out-of-sample forecast accuracy compared to the best methods in these competitions and to the traditional exponential smoothing framework. The proposed algorithm can be used as an alternative to existing automatic forecasting procedures in modeling single seasonal and non-seasonal time series. In addition, it provides the new option of automatic modeling of multiple seasonal time series which cannot be handled using any of the existing automatic forecasting procedures. The proposed automatic procedure is further illustrated by applying it to two multiple seasonal time series involving call center data and electricity demand data.

Suggested Citation

  • Alysha M De Livera, 2010. "Automatic forecasting with a modified exponential smoothing state space framework," Monash Econometrics and Business Statistics Working Papers 10/10, Monash University, Department of Econometrics and Business Statistics.
    • Handle: RePEc:msh:ebswps:2010-10
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    File URL: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2010/wp10-10.pdf
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    References listed on IDEAS

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    Cited by:

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    2. Óscar Trull & J. Carlos García-Díaz & Alicia Troncoso, 2019. "Application of Discrete-Interval Moving Seasonalities to Spanish Electricity Demand Forecasting during Easter," Energies, MDPI, vol. 12(6), pages 1-16, March.

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    More about this item

    Keywords

    Exponential smoothing; state space models; automatic forecasting; Box-Cox transformation; residual adjustment; multiple seasonality; time series;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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