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A state space framework for automatic forecasting using exponential smoothing methods

  • Hyndman, Rob J.
  • Koehler, Anne B.
  • Snyder, Ralph D.
  • Grose, Simone

We provide a new approach to automatic business forecasting based on an extended range of exponential smoothing methods. Each method in our taxonomy of exponential smoothing methods can be shown to be equivalent to the forecasts obtained from a state space model. This allows (1) the easy calculation of the likelihood, the AIC and other model selection criteria; (2) the computation of prediction intervals for each method; and (3) random simulation from the underlying state space model. We demonstrate the methods by applying them to the data from the M-competition on the M3-competition.

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File URL: http://www.sciencedirect.com/science/article/B6V92-469GHHP-4/2/ed0be5daf968d38a2d1bb81ddece129d
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Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 18 (2002)
Issue (Month): 3 ()
Pages: 439-454

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Handle: RePEc:eee:intfor:v:18:y:2002:i:3:p:439-454
Contact details of provider: Web page: http://www.elsevier.com/locate/ijforecast

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  1. Koehler, Anne B. & Snyder, Ralph D. & Ord, J. Keith, 2001. "Forecasting models and prediction intervals for the multiplicative Holt-Winters method," International Journal of Forecasting, Elsevier, vol. 17(2), pages 269-286.
  2. Makridakis, Spyros & Hibon, Michele, 2000. "The M3-Competition: results, conclusions and implications," International Journal of Forecasting, Elsevier, vol. 16(4), pages 451-476.
  3. Chatfield, Chris & Yar, Mohammed, 1991. "Prediction intervals for multiplicative Holt-Winters," International Journal of Forecasting, Elsevier, vol. 7(1), pages 31-37, May.
  4. Armstrong, J. Scott & Collopy, Fred, 1992. "Error measures for generalizing about forecasting methods: Empirical comparisons," International Journal of Forecasting, Elsevier, vol. 8(1), pages 69-80, June.
  5. Ord, J.K. & Koehler, A. & Snyder, R.D., 1995. "Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models," Monash Econometrics and Business Statistics Working Papers 4/95, Monash University, Department of Econometrics and Business Statistics.
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