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Exponential Smoothing Methods of Forecasting and General ARMA Time Series Representations

Shami, R.G.; Snyder, R.D. - Department of Econometrics and Business Statistics, … - 1998

The focus of this paper is on the relationship between the exponential smoothing methods of forecasting and the integrated autoregressive-moving average models underlying them. In this paper we derive, for the first time, the general linear relationship between their parameters. A method,...

Persistent link: https://www.econbiz.de/10005149048

Business Forecasting with Exponential Smoothing : Computation of Prediction Intervals.

Snyder, R.D.; Grose, S. - Department of Econometrics and Business Statistics, … - 1996

The problem considered in this paper is how to find reliable prediction intervals with simple exponential smoothing and trend corrected exponential smoothing. Methods for constructing prediction intervals based on linear approximation and bootstrapping are proposed.

Persistent link: https://www.econbiz.de/10005087580

From Dornbush to Murphy: Stylized Monetary Dynamics of a Contemporary Macroeconometric Model.

Powell, A.A. - Department of Econometrics and Business Statistics, … - 1995

Persistent link: https://www.econbiz.de/10005581138

The tourism forecasting competition

Athanasopoulos, George; Hyndman, Rob J; Song, Haiyan; … - Department of Econometrics and Business Statistics, … - 2008

We evaluate the performance of various methods for forecasting tourism demand. The data used include 380 monthly series, 427 quarterly series and 530 yearly series, all supplied to us by tourism bodies or by academics from previous tourism forecasting studies. The forecasting methods implemented...

Persistent link: https://www.econbiz.de/10005427605

Stochastic population forecasts using functional data models for mortality, fertility and migration

Hyndman, Rob J; Booth, Heather - Department of Econometrics and Business Statistics, … - 2006

Age-sex-specific population forecasts are derived through stochastic population renewal using forecasts of mortality …, which are combined using the cohort-component method to obtain age-specific forecasts of the population by sex. The … distribution of forecasts provides probabilistic prediction intervals. The method is demonstrated by making 20-year forecasts using …

Persistent link: https://www.econbiz.de/10005427608

A State Space Framework for Automatic Forecasting Using Exponential Smoothing Methods.

Hyndman, R.J.; Koehler, A.B.; Snyder, R.D.; Grose, S. - Department of Econometrics and Business Statistics, … - 2000

. Each method in our taxonomy of exponential smoothing methods can be shown to be equivalent to the forecasts obtained from a …

Persistent link: https://www.econbiz.de/10005427616

Forecasting for Inventory Control with Exponential Smoothing.

Snyder, R.D.; Koehler, A.; Ord, K. - Department of Econometrics and Business Statistics, … - 1999

Exponential smoothing, often used for sales forecasting in inventory control, has always been rationalized in terms of statistical models that possess errors with constant variances. It is shown in this paper that exponential smoothing remains the appropriate approach under more general...

Persistent link: https://www.econbiz.de/10005427620

Trend Stability and Structural Change: An Extension to the M1 Forecasting Competition

Snyder, R.; Inder, B. - Department of Econometrics and Business Statistics, … - 1997

The global linear trend with autocorrelated disturbances is a surprising omission from the M1 competition. This approach to forecasting is therefore evaluated using the 51 non-seasonal series from the competition. It is contrasted with a fully optimized version of Holts trend corrected...

Persistent link: https://www.econbiz.de/10005427624

25 Years of IIF Time Series Forecasting: A Selective Review

Gooijer, Jan G. De; Hyndman, Rob J. - Department of Econometrics and Business Statistics, … - 2005

We review the past 25 years of time series research that has been published in journals managed by the International Institute of Forecasters (Journal of Forecasting 1982-1985; International Journal of Forecasting 1985-2005). During this period, over one third of all papers published in these...

Persistent link: https://www.econbiz.de/10005427625

Time Series Forecasting: The Case for the Single Source of Error State Space

Ord, J Keith; Snyder, Ralph D; Koehler, Anne B; … - Department of Econometrics and Business Statistics, … - 2005

The state space approach to modelling univariate time series is now widely used both in theory and in applications. However, the very richness of the framework means that quite different model formulations are possible, even when they purport to describe the same phenomena. In this paper, we...

Persistent link: https://www.econbiz.de/10005427626