Optimizing Theta Model for Monthly Data

Fotios Petropoulos, Konstantinos Nikolopoulos

Abstract

Forecasting accuracy and performance of extrapolation techniques has always been of major importance for both researchers and practitioners. Towards this direction, many forecasting competitions have conducted over the years, in order to provide solid performance measurement frameworks for new methods. The Theta model outperformed all other participants during the largest up-to-date competition (M3-competition). The model’s performance is based to the a-priori decomposition of the original series into two separate lines, which contain specific amount of information regarding the short-term and long-term behavior of the data. The current research investigates possible modifications on the original Theta model, aiming to the development of an optimized version of the model specifically for the monthly data. The proposed adjustments refer to better estimation of the seasonal component, extension of the decomposition feature of the original model and better optimization procedures for the smoothing parameter. The optimized model was tested for its efficiency in a large data set containing more than 20,000 empirical series, displaying improved performance ability when monthly data are considered.

References

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Paper Citation


in Harvard Style

Petropoulos F. and Nikolopoulos K. (2013). Optimizing Theta Model for Monthly Data . In Proceedings of the 5th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART, ISBN 978-989-8565-38-9, pages 190-195. DOI: 10.5220/0004220501900195


in Bibtex Style

@conference{icaart13,
author={Fotios Petropoulos and Konstantinos Nikolopoulos},
title={Optimizing Theta Model for Monthly Data},
booktitle={Proceedings of the 5th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART,},
year={2013},
pages={190-195},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0004220501900195},
isbn={978-989-8565-38-9},
}


in EndNote Style

TY - CONF
JO - Proceedings of the 5th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART,
TI - Optimizing Theta Model for Monthly Data
SN - 978-989-8565-38-9
AU - Petropoulos F.
AU - Nikolopoulos K.
PY - 2013
SP - 190
EP - 195
DO - 10.5220/0004220501900195