Matemática e Estatística / Mathematics and Statistics

Permanent URI for this community

Now showing 1 - 1 of 1

Improving forecasting by resampling STL decomposition
Publication . Cordeiro, Clara; Ramos, Maria do Rosário; Neves, M. Manuela
The development of new forecasting algorithms has shown an increasing interest due to the emerging of new fields of application like machine learning and forecasting competitions. Although initially intended for independent random variables, bootstrap methods can be successfully applied to time series. The Boot.EXPOS procedure, which combines bootstrap and exponential smoothing methods, has shown promising results for forecasting. This work proposes a new approach to forecasting, which is briefly described as follows: using Seasonal-Trend decomposition by Loess (STL), the best STL fit is selected by testing all possible combinations of parameters. The best combination of smoothing parameters is chosen based on an accuracy measure. The time series is then decomposed into components according to the best STL fit. The Boot.EXPOS procedure is employed to forecast the seasonal component and the seasonally adjusted time series. These forecasts are aggregated to obtain a final forecast. The performance of this combined forecast is evaluated using real datasets and compared with other established forecasting methods.
2023-06-30Conference object Restricted access Show more