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Forecasting time series with complex seasonal patterns using exponential smoothing. (English) Zbl 1234.62123
Summary: An innovations state space modeling framework is introduced for forecasting complex seasonal time series such as those with multiple seasonal periods, high-frequency seasonality, non-integer seasonality, and dual-calendar effects. The new framework incorporates G.E.P. Box and D.R. Cox transformations [J. R. Stat. Soc., Ser B 26, 211–243 (1964; Zbl 0156.40104)], Fourier representations with time varying coefficients, and ARMA error correction. Likelihood evaluation and analytical expressions for point forecasts and interval predictions under the assumption of Gaussian errors are derived, leading to a simple, comprehensive approach to forecasting complex seasonal time series. A key feature of the framework is that it relies on a new method that greatly reduces the computational burden in the maximum likelihood estimation. The modeling framework is useful for a broad range of applications, its versatility being illustrated in three empirical studies. In addition, the proposed trigonometric formulation is presented as a means of decomposing complex seasonal time series, and it is shown that this decomposition leads to the identification and extraction of seasonal components which are otherwise not apparent in the time series plot itself.

MSC:
62M20 Inference from stochastic processes and prediction
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C60 Computational problems in statistics (MSC2010)
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