Forecasting with a hybrid method utilizing data smoothing, a variation of the Theta method and shrinkage of seasonal factors

Evangelos Spiliotis, Vassilios Assimakopoulos and Konstantinos Nikolopoulos ()

International Journal of Production Economics, 2019, vol. 209, issue C, 92-102

Abstract: In this paper, we discuss how extrapolation can be advanced by using some of the most successful elements and paradigms from the forecasting literature. We propose a new hybrid method that utilises: a) the decomposition approach of the Theta method, but instead of considering a linear trend we allow for nonlinear trends, b) rather than employing the extrapolation method on the raw data, we first apply smoothing to the data, and c) when seasonality is present, we employ the shrinkage approach to the derived indices instead of simply applying classical seasonal decomposition. We empirically evaluate the new proposition in the M3-Competition data with very promising results in terms of forecast accuracy.

Keywords: Extrapolation; Theta model; Smoothing; Shrinkage; M3-competition (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0925527318300501
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:proeco:v:209:y:2019:i:c:p:92-102

DOI: 10.1016/j.ijpe.2018.01.020

Access Statistics for this article

International Journal of Production Economics is currently edited by Stefan Minner

More articles in International Journal of Production Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().