A Simple Combination of Univariate Models

Fotios Petropoulos, Ivan Svetunkov

Research output: Contribution to journalArticle

Abstract

This paper describes the approach that we implemented to produce the point forecasts and prediction intervals for the M4-competition submission. The proposed Simple Combination of Univariate Models (SCUM) is the 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 6th for the point forecasts (with a small difference compared to the 2nd submission) and prediction intervals and 2nd and 3rd for the point forecasts of the weekly and quarterly data respectively.
LanguageEnglish
JournalInternational Journal of Forecasting
StatusAccepted/In press - 28 Jan 2019

Cite this

A Simple Combination of Univariate Models. / Petropoulos, Fotios; Svetunkov, Ivan.

In: International Journal of Forecasting, 28.01.2019.

Research output: Contribution to journalArticle

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