Generalised estimators for seasonal forecasting by combining grouping and shrinkage approaches

Zhang, K, Chen, H, Boylan, John and Scarf, PA (2013) Generalised estimators for seasonal forecasting by combining grouping and shrinkage approaches. Journal of Forecasting, 32 (2). pp. 137-150. ISSN 0169-2070

Full text not available from this repository.

Abstract

In this paper, generalised estimators are proposed to estimate seasonal indices for certain forms of additive and mixed seasonality. The estimators combine one of two group seasonal indices methods—Dalhart's group method and Withycombe's group method—with a shrinkage method in different ways. Optimal shrinkage parameters are derived to maximise the performance of the estimators. Then, the generalised estimators, with the optimal shrinkage parameters, are evaluated based on forecasting accuracy. Moreover, the effects of three factors are examined, namely, the length of data history, variance of random components and the number of series. Finally, a simulation experiment is conducted to support the evaluation. Copyright © 2011 John Wiley & Sons, Ltd.

Item Type: Article
Divisions: ?? BucksNewUniversity ??
Depositing User: ULCC Admin
Date Deposited: 21 May 2012 14:41
Last Modified: 11 Dec 2017 19:18
URI: http://bucks.repository.guildhe.ac.uk/id/eprint/9597

Actions (login required)

Edit Item Edit Item