Improving the forecasting performance of temporal hierarchies

Temporal hierarchies have been widely used during the past few years as they are capable to provide more accurate coherent forecasts at different planning horizons. However, they still display some limitations, being mainly subject to the forecasting methods used for generating the base forecasts an...

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Vydáno v:PloS one Ročník 14; číslo 10; s. e0223422
Hlavní autoři: Spiliotis, Evangelos, Petropoulos, Fotios, Assimakopoulos, Vassilios
Médium: Journal Article
Jazyk:angličtina
Vydáno: United States Public Library of Science 03.10.2019
Public Library of Science (PLoS)
Témata:
Accuracy
Algorithms
Bias
Biology and Life Sciences
Competition
Computer and Information Sciences
Computer engineering
Data smoothing
Displays (Marketing)
Earth Sciences
Forecasting
Hierarchies
Humans
Inferential statistics
Management science
Methods
Models, Statistical
Multilevel analysis
Performance evaluation
Physical Sciences
Reproducibility of Results
Research and Analysis Methods
Seasons
Shrinkage
Social Sciences
Spatio-Temporal Analysis
Time series
Greece
ISSN:1932-6203, 1932-6203
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Shrnutí:Temporal hierarchies have been widely used during the past few years as they are capable to provide more accurate coherent forecasts at different planning horizons. However, they still display some limitations, being mainly subject to the forecasting methods used for generating the base forecasts and the particularities of the examined series. This paper deals with such limitations by considering three different strategies: (i) combining forecasts of multiple methods, (ii) applying bias adjustments and (iii) selectively implementing temporal hierarchies to avoid seasonal shrinkage. The proposed strategies can be applied either separately or simultaneously, being complements to the method considered for reconciling the base forecasts and completely independent from each other. Their effect is evaluated using the monthly series of the M and M3 competitions. The results are very promising, displaying lots of potential for improving the performance of temporal hierarchies, both in terms of accuracy and bias.
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Competing Interests: The authors have declared that no competing interests exist.
ISSN:1932-6203
1932-6203
DOI:10.1371/journal.pone.0223422