Tag Archives: automatic specification

Additive and multiplicative seasonality – can you identify them correctly?

Seasonality is a common characteristic of time series. It can appear in two forms: additive and multiplicative. In the former case the amplitude of the seasonal variation is independent of the level, whereas in the latter it is connected. The following figure highlights this: Note that in the example of multiplicative seasonality the season is… Read More »

Choosing parameters for Croston’s method and its variants

Although Croston’s method and its variants are popular for intermittent demand time series, there have been limited advances in identifying how to select appropriate smoothing parameters and initial values. From the one hand this complicates forecasting for organisations, and from the other hand it does not permit automation. Recent research investigated various cost functions for… Read More »

MAPA and intermittent demand forecasting

Recently I posted about a paper I co-authored with Fotios Petropoulos, now in JORS: Forecast Combinations for Intermittent Demand. There we found that for intermittent demand data using multiple levels of temporal aggregation, forecasting them with the appropriate models and finally combining the forecasts performed best. This approach has many analogies with the MAPA algorithm… Read More »