Forecasting with temporal hierarchies

DOI10.1016/J.EJOR.2017.02.046zbMath1403.62154OpenAlexW2177978941MaRDI QIDQ1754013

George Athanasopoulos, Rob Hyndman, Fotios Petropoulos, Nikolaos Kourentzes

Publication date: 30 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://eprints.lancs.ac.uk/id/eprint/129768/1/TemporalHierarchies_Work2015.pdf

zbMATH Keywords

forecastingforecast combinationtemporal aggregationhierarchical forecastingreconciliation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (18)

Grouped multivariate and functional time series forecasting: an application to annuity pricing ⋮ Mathematical optimization in classification and regression trees ⋮ Optimal Forecast Reconciliation for Hierarchical and Grouped Time Series Through Trace Minimization ⋮ Probabilistic forecast reconciliation: properties, evaluation and score optimisation ⋮ Wavelet-\(L_2 E\) stochastic volatility models: an application to the water-energy nexus ⋮ Reconciling temporal hierarchies of wind power production with forecast-dependent variance structures ⋮ Metalearning of time series: an approximate dynamic programming approach ⋮ Optimal reconciliation with immutable forecasts ⋮ A greedy aggregation-decomposition method for intermittent demand forecasting in fashion retailing ⋮ Elucidate structure in intermittent demand series ⋮ A general property for time aggregation ⋮ We need to talk about intermittent demand forecasting ⋮ Forecasting Swiss exports using Bayesian forecast reconciliation ⋮ Understanding forecast reconciliation ⋮ Efficient probabilistic reconciliation of forecasts for real-valued and count time series ⋮ A new taxonomy for vector exponential smoothing and its application to seasonal time series ⋮ Temporal hierarchies with autocorrelation for load forecasting ⋮ Frequency-based ensemble forecasting model for time series forecasting

Uses Software

• Unnamed Item
• forecast
• Forecast
• expsmooth

Cites Work

• Unnamed Item
• Optimal combination forecasts for hierarchical time series
• Handbook of economic forecasting. Volume 1
• Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
• Forecasting with exponential smoothing. The state space approach
• Heuristics of instability and stabilization in model selection
• Setting staffing requirements for time dependent queueing networks: the case of accident and emergency departments
• Optimal forecast combinations under general loss functions and forecast error distributions
• Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
• Design and Optimization Methods for Elective Hospital Admissions
• Sensitivity of Weights in Combining Forecasts
• Demand forecasting by temporal aggregation
• A Single-Supplier, Multiple-Retailer Model with Single-Season, Multiple-Ordering Opportunities, and Fixed Ordering Cost
• THE EFFECT OF AGGREGATION ON PREDICTION IN AUTOREGRESSIVE INTEGRATED MOVING‐AVERAGE MODELS
• The Effect of Aggregation on Prediction in the Autoregressive Model
• Asymptotic behaviour of temporal aggregates of time series

This page was built for publication: Forecasting with temporal hierarchies