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Research output: Working paper
Research output: Working paper
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TY - UNPB
T1 - Complex Exponential Smoothing for Seasonal Time Series
AU - Svetunkov, Ivan
AU - Kourentzes, Nikolaos
PY - 2018/1
Y1 - 2018/1
N2 - The general seasonal Complex Exponential Smoothing (CES) model is presented in this paper. CES is based on conventional exponential smoothing and a theory of complex variables. The proposed seasonal CES can capture known forms of seasonality, as well as new ones that are neither strictly additive nor multiplicative. In contrast to exponential smoothing, CES can capture both stationary and non-stationary processes, giving it greater modelling flexibility. In order to choose between the seasonal and non-seasonal CES a model selection procedure is discussed in the paper. An empirical evaluation of the performance of the model, against ETS and ARIMA, on real data is carried out. The findings suggest that CES simplifies model selection, and as a result the forecasting process, while performing better than the benchmarks in terms of forecasting accuracy.
AB - The general seasonal Complex Exponential Smoothing (CES) model is presented in this paper. CES is based on conventional exponential smoothing and a theory of complex variables. The proposed seasonal CES can capture known forms of seasonality, as well as new ones that are neither strictly additive nor multiplicative. In contrast to exponential smoothing, CES can capture both stationary and non-stationary processes, giving it greater modelling flexibility. In order to choose between the seasonal and non-seasonal CES a model selection procedure is discussed in the paper. An empirical evaluation of the performance of the model, against ETS and ARIMA, on real data is carried out. The findings suggest that CES simplifies model selection, and as a result the forecasting process, while performing better than the benchmarks in terms of forecasting accuracy.
KW - Forecasting
KW - Exponential Smoothing
KW - complex variables
KW - Seasonality
M3 - Working paper
VL - 2018:1
SP - 1
EP - 20
BT - Complex Exponential Smoothing for Seasonal Time Series
PB - Department of Management Science, Lancaster University
CY - Lancaster
ER -