A Simple Combination of Univariate Models

Fotios Petropoulos, Ivan Svetunkov

Research output: Contribution to journalArticle

9 Citations (Scopus)

Abstract

This paper describes the approach that we implemented for producing the point forecasts and prediction intervals for our M4-competition submission. The proposed simple combination of univariate models (SCUM) is a median combination of the point forecasts and prediction intervals of four models, namely exponential smoothing, complex exponential smoothing, automatic autoregressive integrated moving average and dynamic optimised theta. Our submission performed very well in the M4-competition, being ranked 6 th for the point forecasts (with a small difference compared to the 2 nd submission) and prediction intervals and 2 nd and 3 rd for the point forecasts of the weekly and quarterly data respectively.

Original languageEnglish
Pages (from-to)110-115
Number of pages6
JournalInternational Journal of Forecasting
Volume36
Issue number1
Early online date17 Apr 2019
DOIs
Publication statusPublished - 1 Jan 2020

Keywords

  • ARIMA
  • Complex exponential smoothing
  • ETS
  • M4-competition
  • Median combination
  • Theta method

ASJC Scopus subject areas

  • Business and International Management

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