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Forecasting Time-Series with Correlated Seasonality

Phillip Gould, Anne B. Koehler, Farshid Vahid (), Ralph Snyder (), Keith Ord () and Rob Hyndman ()

No 28/04, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: A new approach is proposed for forecasting a time series with multiple seasonal patterns. A state space model is developed for the series using the single source of error approach which enables us to develop explicit models for both additive and multiplicative seasonality. Parameter estimates may be obtained using methods adapted from general exponential smoothing, although the Kalman filter may also be used. The proposed model is used to examine hourly and daily patterns in hourly data for both utility loads and traffic flows. Our formulation provides a model for several existing seasonal methods and also provides new options, which result in superior forecasting performance over a range of prediction horizons. The approach is likely to be useful in a wide range of applications involving both high and low frequency data, and it handles missing values in a straightforward manner.

Keywords: Exponential smoothing; Holt-Winters; Seasonality; Structural time series model (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2004-12, Revised 2005-10
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http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2004/wp28-04.pdf Revised version, October 2005 (application/pdf)

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