Exponential smoothing model selection for forecasting
Applications of exponential smoothing to forecast time series usually rely on three basic methods: simple exponential smoothing, trend corrected exponential smoothing and a seasonal variation thereof. A common approach to select the method appropriate to a particular time series is based on prediction validation on a withheld part of the sample using criteria such as the mean absolute percentage error. A second approach is to rely on the most appropriate general case of the three methods. For annual series this is trend corrected exponential smoothing: for sub-annual series it is the seasonal adaptation of trend corrected exponential smoothing. The rationale for this approach is that a general method automatically collapses to its nested counterparts when the pertinent conditions pertain in the data. A third approach may be based on an information criterion when maximum likelihood methods are used in conjunction with exponential smoothing to estimate the smoothing parameters. In this paper, such approaches for selecting the appropriate forecasting method are compared in a simulation study. They are also compared on real time series from the M3 forecasting competition. The results indicate that the information criterion approach appears to provide the best basis for an automated approach to method selection, provided that it is based on Akaike's information criterion.
(This abstract was borrowed from another version of this item.)
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Peter R. Winters, 1960. "Forecasting Sales by Exponentially Weighted Moving Averages," Management Science, INFORMS, vol. 6(3), pages 324-342, April.
- Makridakis, Spyros & Hibon, Michele, 2000. "The M3-Competition: results, conclusions and implications," International Journal of Forecasting, Elsevier, vol. 16(4), pages 451-476.
- Bartolomei, Sonia M. & Sweet, Arnold L., 1989. "A note on a comparison of exponential smoothing methods for forecasting seasonal series," International Journal of Forecasting, Elsevier, vol. 5(1), pages 111-116.
- Hyndman, Rob J. & Koehler, Anne B. & Snyder, Ralph D. & Grose, Simone, 2002.
"A state space framework for automatic forecasting using exponential smoothing methods,"
International Journal of Forecasting,
Elsevier, vol. 18(3), pages 439-454.
- Hyndman, R.J. & Koehler, A.B. & Snyder, R.D. & Grose, S., 2000. "A State Space Framework for Automatic Forecasting Using Exponential Smoothing Methods," Monash Econometrics and Business Statistics Working Papers 9/00, Monash University, Department of Econometrics and Business Statistics.
- 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.
When requesting a correction, please mention this item's handle: RePEc:eee:intfor:v:22:y:2006:i:2:p:239-247. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.