Forecasting : theory and practice

Petropoulos, Fotios and Apiletti, Daniele and Assimakopoulos, Vassilios and Babai, Mohamed Zied and Barrow, Devon K. and Ben Taieb, Souhaib and Bergmeir, Christoph and Bessa, Ricardo J. and Bijak, Jakub and Boylan, John E. and Browell, Jethro and Carnevale, Claudio and Castle, Jennifer L. and Cirillo, Pasquale and Clements, Michael P. and Cordeiro, Clara and Cyrino Oliveira, Fernando Luiz and De Baets, Shari and Dokumentov, Alexander and Ellison, Joanne and Fiszeder, Piotr and Franses, Philip Hans and Frazier, David T. and Gilliland, Michael and Gönül, M. Sinan and Goodwin, Paul and Grossi, Luigi and Grushka-Cockayne, Yael and Guidolin, Mariangela and Guidolin, Massimo and Gunter, Ulrich and Guo, Xiaojia and Guseo, Renato and Harvey, Nigel and Hendry, David F. and Hollyman, Ross and Januschowski, Tim and Jeon, Jooyoung and Jose, Victor Richmond R. and Kang, Yanfei and Koehler, Anne B. and Kolassa, Stephan and Kourentzes, Nikolaos and Leva, Sonia and Li, Feng and Litsiou, Konstantia and Makridakis, Spyros and Martin, Gael M. and Martinez, Andrew B. and Meeran, Sheik and Modis, Theodore and Nikolopoulos, Konstantinos and Önkal, Dilek and Paccagnini, Alessia and Panagiotelis, Anastasios and Panapakidis, Ioannis and Pavía, Jose M. and Pedio, Manuela and Pedregal, Diego J. and Pinson, Pierre and Ramos, Patrícia and Rapach, David E. and Reade, J. James and Rostami-Tabar, Bahman and Rubaszek, Michał and Sermpinis, Georgios and Shang, Han Lin and Spiliotis, Evangelos and Syntetos, Aris A. and Talagala, Priyanga Dilini and Talagala, Thiyanga S. and Tashman, Len and Thomakos, Dimitrios and Thorarinsdottir, Thordis and Todini, Ezio and Trapero Arenas, Juan Ramón and Wang, Xiaoqian and Winkler, Robert L. and Yusupova, Alisa and Ziel, Florian (2022) Forecasting : theory and practice. International Journal of Forecasting, 38 (3). pp. 705-871. ISSN 0169-2070

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Abstract

Forecasting has always been at the forefront of decision making and planning. The uncertainty that surrounds the future is both exciting and challenging, with individuals and organisations seeking to minimise risks and maximise utilities. The large number of forecasting applications calls for a diverse set of forecasting methods to tackle real-life challenges. This article provides a non-systematic review of the theory and the practice of forecasting. We provide an overview of a wide range of theoretical, state-of-the-art models, methods, principles, and approaches to prepare, produce, organise, and evaluate forecasts. We then demonstrate how such theoretical concepts are applied in a variety of real-life contexts. We do not claim that this review is an exhaustive list of methods and applications. However, we wish that our encyclopedic presentation will offer a point of reference for the rich work that has been undertaken over the last decades, with some key insights for the future of forecasting theory and practice. Given its encyclopedic nature, the intended mode of reading is non-linear. We offer cross-references to allow the readers to navigate through the various topics. We complement the theoretical concepts and applications covered by large lists of free or open-source software implementations and publicly-available databases.