Local Linear Forecasts Using Cubic Smoothing Splines
We show how cubic smoothing splines fitted to univariate time series data can be used to obtain local linear forecasts. Our approach is based on a stochastic state space model which allows the use of a likelihood approach for estimating the smoothing parameter, and which enables easy construction of prediction intervals. We show that our model is a special case of an ARIMA(0,2,2) model and we provide a simple upper bound for the smoothing parameter to ensure an invertible model. We also show that the spline model is not a special case of Holt's local linear trend method. Finally we compare the spline forecasts with Holt's forecasts and those obtained from the full ARIMA(0,2,2) model, showing that the restricted parameter space does not impair forecast performance.
|Date of creation:||Aug 2002|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: +61 3 99052489
Fax: +61 3 99055474
Web page: http://business.monash.edu/econometrics-and-business-statistics
More information through EDIRC
|Order Information:|| Web: http://business.monash.edu/econometrics-and-business-statistics Email: |
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.:
- 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.
- 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, Rob J. & Billah, Baki, 2003.
"Unmasking the Theta method,"
International Journal of Forecasting,
Elsevier, vol. 19(2), pages 287-290.
- Hyndman, R.J. & Billah, B., 2001. "Unmasking the Theta Method," Monash Econometrics and Business Statistics Working Papers 5/01, Monash University, Department of Econometrics and Business Statistics.
- Hyndman, R.J. & Koehler, A.B. & Ord, J.K. & Snyder, R.D., 2001. "Prediction Intervals for Exponential Smoothing State Space Models," Monash Econometrics and Business Statistics Working Papers 11/01, Monash University, Department of Econometrics and Business Statistics.
- Harvey, A.C. & Koopman, S.J.M., 1999.
"Signal Extraction and the Formulation of Unobserved Components Models,"
1999-44, Tilburg University, Center for Economic Research.
- Andrew Harvey & Siem Jan Koopman, 2000. "Signal extraction and the formulation of unobserved components models," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 84-107.
- Beran, Jan & Feng, Yuanhua, 2002. "SEMIFAR models--a semiparametric approach to modelling trends, long-range dependence and nonstationarity," Computational Statistics & Data Analysis, Elsevier, vol. 40(2), pages 393-419, August.
- Piet Jong & Sonia Mazzi, 2001. "Modeling and Smoothing Unequally Spaced Sequence Data," Statistical Inference for Stochastic Processes, Springer, vol. 4(1), pages 53-71, January.
- Assimakopoulos, V. & Nikolopoulos, K., 2000. "The theta model: a decomposition approach to forecasting," International Journal of Forecasting, Elsevier, vol. 16(4), pages 521-530.
When requesting a correction, please mention this item's handle: RePEc:msh:ebswps:2002-10. 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: (Dr Xibin Zhang)
If references are entirely missing, you can add them using this form.