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Optimizing Theta model for monthly data

Petropoulos, Fotios and Nikolopoulos, Konstantinos (2013) Optimizing Theta model for monthly data. In: ICAART 2013 5th International Conference on Agents and Artificial Intelligence, 2013-02-152013-02-18, Barcelona.

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Abstract

Forecasting accuracy and performance of extrapolation techniques has always been of major importance for both researchers and practitioners. Towards this direction, many forecasting competitions have conducted over the years, in order to provide solid performance measurement frameworks for new methods. The Theta model outperformed all other participants during the largest up-to-date competition (M3-competition). The model’s performance is based to the a-priori decomposition of the original series into two separate lines, which contain specific amount of information regarding the short-term and long-term behavior of the data. The current research investigates possible modifications on the original Theta model, aiming to the development of an optimized version of the model specifically for the monthly data. The proposed adjustments refer to better estimation of the seasonal component, extension of the decomposition feature of the original model and better optimization procedures for the smoothing parameter. The optimized model was tested for its efficiency in a large data set containing more than 20,000 empirical series, displaying improved performance ability when monthly data are considered.

Item Type: Conference or Workshop Item (Paper)
Journal or Publication Title: ICAART 2013 5th International Conference on Agents and Artificial Intelligence
Uncontrolled Keywords: Forecasting Accuracy ; Competitions ; Theta Model ; Seasonality ; Time Series
Subjects:
Departments: Lancaster University Management School > Management Science
ID Code: 60313
Deposited By: ep_importer_pure
Deposited On: 29 Nov 2012 10:00
Refereed?: No
Published?: Published
Last Modified: 24 May 2013 10:03
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/60313

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