Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - Generalised estimators for seasonal forecasting by combining grouping with shrinkage approaches
AU - Zhang, Kui
AU - Chen, Huijing
AU - Boylan, John
AU - Scarf, Philip
PY - 2013/3/1
Y1 - 2013/3/1
N2 - In this paper, generalised estimators are proposed to estimate seasonal indices for certain forms of additive and mixed seasonality. The estimators combine one of two group seasonal indices methods—Dalhart's group method and Withycombe's group method—with a shrinkage method in different ways. Optimal shrinkage parameters are derived to maximise the performance of the estimators. Then, the generalised estimators, with the optimal shrinkage parameters, are evaluated based on forecasting accuracy. Moreover, the effects of three factors are examined, namely, the length of data history, variance of random components and the number of series. Finally, a simulation experiment is conducted to support the evaluation
AB - In this paper, generalised estimators are proposed to estimate seasonal indices for certain forms of additive and mixed seasonality. The estimators combine one of two group seasonal indices methods—Dalhart's group method and Withycombe's group method—with a shrinkage method in different ways. Optimal shrinkage parameters are derived to maximise the performance of the estimators. Then, the generalised estimators, with the optimal shrinkage parameters, are evaluated based on forecasting accuracy. Moreover, the effects of three factors are examined, namely, the length of data history, variance of random components and the number of series. Finally, a simulation experiment is conducted to support the evaluation
KW - forecasting
KW - seasonality
KW - grouping
KW - shrinkage
KW - generalised estimator
U2 - 10.1002/for.1254
DO - 10.1002/for.1254
M3 - Journal article
VL - 32
SP - 137
EP - 150
JO - Journal of Forecasting
JF - Journal of Forecasting
SN - 0277-6693
IS - 2
ER -