10.4225/03/59379787a3ace
Maharaj, Elizabeth Ann
Elizabeth Ann
Maharaj
Using Evolutionary Spectra to Forecast Time Series
Monash University
2017
monash:2343
M3-Competition
2003
Adaptive Smoothing
Evolutionary Spectra
1959.1/2343
2017-06-07 06:04:54
Journal contribution
https://bridges.monash.edu/articles/journal_contribution/Using_Evolutionary_Spectra_to_Forecast_Time_Series/5085505
In this paper, an adaptive smoothing forecasting approach based on evolutionary spectra as developed by Rao and Shapiro (1970) is applied to the 3003 time series of various types and lengths used in the M3-Competition (Makridakis and Hibon, 2000). Comparisons of out-of-sample forecasts are made with other methods used in the M3-Competition via the symmetric mean absolute percentage error (SMAPE). It will be seen that this method does appear to perform very well when applied specifically to yearly, quarterly and monthly macro time series and to yearly and monthly demographic time series used in the competition.