Seasonal adjustment perspectives on “Damping seasonal factors: shrinkage estimators for the X-12-ARIMA program”

Findley, David F.; Wills, Kellie; Monsell, Brian C.

doi:10.1016/j.ijforecast.2004.03.008

Cited by 12 publications

(4 citation statements)

References 3 publications

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“…Miller & Williams (2003 showed that greater forecasting accuracy is obtained by shrinking the seasonal component towards zero. The commentaries on the latter paper (Findley et al, 2004;Ladiray & Quenneville, 2004;Hyndman, 2004;Koehler, 2004;and Ord, 2004) gave several suggestions regarding implementation of this idea.…”

Section: Seasonalitymentioning

confidence: 99%

25 years of time series forecasting

Gooijer

Hyndman

2006

International Journal of Forecasting

1,255

632

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During this period, over one third of all papers published in these journals concerned time series forecasting. We also review highly influential works on time series forecasting that have been published elsewhere during this period. Enormous progress has been made in many areas, but we find that there are a large number of topics in need of further development. We conclude with comments on possible future research directions in this field.

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Section: Seasonalitymentioning

confidence: 99%

25 years of time series forecasting

Gooijer

Hyndman

2006

International Journal of Forecasting

1,255

632

View full text Add to dashboard Cite

show abstract

Section: Seasonalitymentioning

confidence: 99%

25 Years of IIF Time Series Forecasting: A Selective Review

Gooijer

Hyndman

2005

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. International Journal of Forecasting 1985-2005. During this period, over one third of all papers published in these journals concerned time series forecasting. We also review highly influential works on time series forecasting that have been published elsewhere during this period. Enormous progress has been made in many areas, but we find that there are a large number of topics in need of further development. We conclude with comments on possible future research directions in this field. Terms of use: Documents in

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“…Furthermore, Miller and Williams investigated the potential of the shrinkage methods for improving X-12-ARIMA and concluded that forecasting accuracy improved when seasonal damping was used in the seasonal adjustment Miller and Williams (2004). This investigation inspired discussions on the topic of shrinking seasonal factor in a special issue of the International Journal of Forecasting (Amstrong, 2004;Findley et al, 2004;Koehler, 2004;Miller and Williams, 2004;Ord, 2004). Chen and Boylan (2008) undertook an empirical comparison between the ISI, the GSI and the SSI.…”

Section: Introductionmentioning

confidence: 99%

Generalised Estimators for Seasonal Forecasting by Combining Grouping with Shrinkage Approaches

Zhang

Chen

Boylan

et al. 2011

Journal of Forecasting

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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.

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Seasonal adjustment perspectives on “Damping seasonal factors: shrinkage estimators for the X-12-ARIMA program”

Cited by 12 publications

References 3 publications

25 years of time series forecasting

25 years of time series forecasting

25 Years of IIF Time Series Forecasting: A Selective Review

Generalised Estimators for Seasonal Forecasting by Combining Grouping with Shrinkage Approaches

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