Generalised estimators for seasonal forecasting by combining grouping with shrinkage approaches

K. Zhang, Huijing Chen, J. Boylan, P. Scarf

Research output: Contribution to journalArticlepeer-review

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.
Original languageEnglish
Pages (from-to)137-150
Number of pages14
JournalJournal of Forecasting
Volume32
Issue number2
DOIs
Publication statusPublished - 2013

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