The DOI matches its Crossref record; 10 of the 10 references it cites were found in a registry or an index.
A state space framework for automatic forecasting using exponential smoothing methods
Open accessAbstract
We provide a new approach to automatic business forecasting based on an extended range of exponential smoothing methods. Each method in our taxonomy of exponential smoothing methods can be shown to be equivalent to the forecasts obtained from a state space model. This allows (1) the easy calculation of the likelihood, the AIC and other model selection criteria; (2) the computation of prediction intervals for each method; and (3) random simulation from the underlying state space model. We demonstrate the methods by applying them to the data from the M-competition and the M3-competition.
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Citations
Cites
Forecasting methods and applications
(1993) · Computers & Operations Research · doi:10.1016/0305-0548(93)90040-p · Cited by 2,393
The M3-Competition: results, conclusions and implications
Makridakis, S., & Hibon, M. (2000) · International Journal of Forecasting · doi:10.1016/s0169-2070(00)00057-1 · Cited by 1,695
The accuracy of extrapolation (time series) methods: Results of a forecasting competition
Makridakis, S., Andersen, A., Carbone, R., Fildes, R., Hibon, M., Lewandowski, R., Newton, J., Parzen, E., & Winkler, R. (1982) · Journal of Forecasting · doi:10.1002/for.3980010202 · Cited by 1,462
Exponential smoothing: The state of the art
Gardner, E. S. (1985) · Journal of Forecasting · doi:10.1002/for.3980040103 · Cited by 1,458
Error measures for generalizing about forecasting methods: Empirical comparisons
Armstrong, J. S., & Collopy, F. (1992) · International Journal of Forecasting · doi:10.1016/0169-2070(92)90008-w · Cited by 1,396
Statistical Forecasting for Inventory Control.
Davies, O. L., & Brown, R. G. (1960) · Journal of the Royal Statistical Society. Series A (General) · doi:10.2307/2342487 · Cited by 831
Forecasting: Methods and Applications
Briggs, W. M., Makridakis, S., Wheelwright, S. C., Hyndman, R. J., & Diebold, F. X. (1999) · Journal of the American Statistical Association · doi:10.2307/2669717 · Cited by 626
Self-citationEstimation and Prediction for a Class of Dynamic Nonlinear Statistical Models
Ord, J. K., Koehler, A. B., & Snyder, R. D. (1997) · Journal of the American Statistical Association · doi:10.1080/01621459.1997.10473684 · Cited by 228
Self-citationForecasting models and prediction intervals for the multiplicative Holt–Winters method
Koehler, A. B., Snyder, R. D., & Ord, J. K. (2001) · International Journal of Forecasting · doi:10.1016/s0169-2070(01)00081-4 · Cited by 129
Self-citationThe M‐competition with a fully automatic box–jenkins procedure
Libert, G. (1984) · Journal of Forecasting · doi:10.1002/for.3980030310 · Cited by 19
Cited by
Another look at measures of forecast accuracy
Hyndman, R. J., & Koehler, A. B. (2006) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2006.03.001 · Cited by 5,757
Self-citationTaylor, S. J., & Letham, B. (2018) · The American Statistician · doi:10.1080/00031305.2017.1380080 · Cited by 2,737
25 years of time series forecasting
De Gooijer, J. G., & Hyndman, R. J. (2006) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2006.01.001 · Cited by 1,587
Self-citationStatistical and machine learning forecasting methods: Concerns and ways forward
Makridakis, S., Spiliotis, E., & Assimakopoulos, V. (2018) · PLOS ONE · doi:10.1371/journal.pone.0194889 · Cited by 1,528
Forecasting Time Series With Complex Seasonal Patterns Using Exponential Smoothing
De Livera, A. M., Hyndman, R. J., & Snyder, R. D. (2011) · Journal of the American Statistical Association · doi:10.1198/jasa.2011.tm09771 · Cited by 1,049
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Metadata
- Authors
- Hyndman, R. J., Koehler, A. B., Snyder, R. D., & Grose, S.
- Venue
- International Journal of Forecasting
- Publisher
- Elsevier BV
- Published
- 2002-07
- Volume
- 18
- Issue
- 3
- Pages
- 439-454
- ISSN
- 0169-2070 (ISSN-L)
- OpenAlex
- W2162174678
- Cited by
- 1,066
- References
- 10
- FWCI
- 10.29
- Type
- journal article
- Language
- en
- Open access
- green
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