Improving forecasting via multiple temporal aggregation

Petropoulos, Fotios and Kourentzes, Nikos (2014) Improving forecasting via multiple temporal aggregation. Foresight: The International Journal of Applied Forecasting, 2014 (34). pp. 12-17.

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Abstract

In most business forecasting applications, the decision-making need we have directs the frequency of the data we collect (monthly, weekly, etc.) and use for forecasting. In this article we introduce an approach that combines forecasts generated by modeling the different frequencies (levels of temporal aggregation). Their technique augments our information about the data used for forecasting and, as such, can result in more accurate forecasts. It also automatically reconciles the forecasts at different levels.