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A state space model for exponential smoothing with group seasonality

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journal contribution
posted on 2017-11-03, 00:06 authored by Ouwehand, Pim, Hyndman, Rob J., de Kok, Ton G., van Donselaar, Karel H.
We present an approach to improve forecast accuracy by simultaneously forecasting a group of products that exhibit similar seasonal demand patterns. Better seasonality estimates can be made by using information on all products in a group, and using these improved estimates when forecasting at the individual product level. This approach is called the group seasonal indices (GSI) approach, and is a generalization of the classical Holt-Winters procedure. This article describes an underlying state space model for this method and presents simulation results that show when it yields more accurate forecasts than Holt-Winters.

History

Year of first publication

2007

Series

Department of Econometrics and Business Statistics.

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