Improving the forecasting performance of temporal hierarchies

Evangelos Spiliotis, Fotios Petropoulos, Vassilios Assimakopoulos

Research output: Contribution to journalArticle

1 Downloads (Pure)

Abstract

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.
Original languageEnglish
Article numbere0223422
Pages (from-to)1-21
Number of pages21
JournalPLoS ONE
Volume14
Issue number10
DOIs
Publication statusPublished - 3 Oct 2019

Cite this

Improving the forecasting performance of temporal hierarchies. / Spiliotis, Evangelos; Petropoulos, Fotios; Assimakopoulos, Vassilios.

In: PLoS ONE, Vol. 14, No. 10, e0223422, 03.10.2019, p. 1-21.

Research output: Contribution to journalArticle

Spiliotis, Evangelos ; Petropoulos, Fotios ; Assimakopoulos, Vassilios. / Improving the forecasting performance of temporal hierarchies. In: PLoS ONE. 2019 ; Vol. 14, No. 10. pp. 1-21.
@article{56ce909974ba433b93de0d43e6292c04,
title = "Improving the forecasting performance of temporal hierarchies",
abstract = "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.",
author = "Evangelos Spiliotis and Fotios Petropoulos and Vassilios Assimakopoulos",
year = "2019",
month = "10",
day = "3",
doi = "10.1371/journal.pone.0223422",
language = "English",
volume = "14",
pages = "1--21",
journal = "PLoS ONE",
issn = "1932-6203",
publisher = "Public Library of Science (PLOS)",
number = "10",

}

TY - JOUR

T1 - Improving the forecasting performance of temporal hierarchies

AU - Spiliotis, Evangelos

AU - Petropoulos, Fotios

AU - Assimakopoulos, Vassilios

PY - 2019/10/3

Y1 - 2019/10/3

N2 - 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.

AB - 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.

U2 - 10.1371/journal.pone.0223422

DO - 10.1371/journal.pone.0223422

M3 - Article

VL - 14

SP - 1

EP - 21

JO - PLoS ONE

JF - PLoS ONE

SN - 1932-6203

IS - 10

M1 - e0223422

ER -