Multivariate exponential smoothing for forecasting tourist arrivals to Australia and New Zealand
George Athanasopoulos () and
Ashton de Silva
No 11/09, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics
In this paper we propose a new set of multivariate stochastic models that capture time varying seasonality within the vector innovations structural time series (VISTS) framework. These models encapsulate exponential smoothing methods in a multivariate setting. The models considered are the local level, local trend and damped trend VISTS models with an additive multivariate seasonal component. We evaluate their performances for forecasting international tourist arrivals from eleven source countries to Australia and New Zealand.
Keywords: Holt-Winters’ method; Stochastic seasonality; Vector innovations state space models. (search for similar items in EconPapers)
JEL-codes: C32 C53 (search for similar items in EconPapers)
Pages: 15 pages
New Economics Papers: this item is included in nep-ets, nep-for and nep-tur
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