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Forecasting Intraday Time Series with Multiple Seasonal Cycles Using Parsimonious Seasonal Exponential Smoothing

James W. Taylor () and Ralph Snyder ()

No 9/09, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: This paper concerns the forecasting of seasonal intraday time series. An extension of Holt-Winters exponential smoothing has been proposed that smoothes an intraday cycle and an intraweek cycle. A recently proposed exponential smoothing method involves smoothing a different intraday cycle for each distinct type of day of the week. Similar days are allocated identical intraday cycles. A limitation is that the method allows only whole days to be treated as identical. We introduce an exponential smoothing formulation that allows parts of different days of the week to be treated as identical. The result is a method that involves the smoothing and initialisation of fewer terms than the other two exponential smoothing methods. We evaluate forecasting up to a day ahead using two empirical studies. For electricity load data, the new method compares well with a range of alternatives. The second study involves a series of arrivals at a call centre that is open for a shorter duration at the weekends than on weekdays. By contrast with the previously proposed exponential smoothing methods, our new method can model in a straightforward way this situation, where the number of periods on each day of the week is not the same.

Keywords: Exponential smoothing; Intraday data; Electricity load; Call centre arrivals. (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, nep-ets and nep-for
Date: 2009-10-02
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Journal Article: Forecasting intraday time series with multiple seasonal cycles using parsimonious seasonal exponential smoothing (2012) Downloads
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