The theta model: a decomposition approach to forecasting

Assimakopoulos, V; Nikolopoulos, K

dc.contributor.author	Assimakopoulos, V	en
dc.contributor.author	Nikolopoulos, K	en
dc.date.accessioned	2014-03-01T01:15:56Z
dc.date.available	2014-03-01T01:15:56Z
dc.date.issued	2000	en
dc.identifier.issn	0169-2070	en
dc.identifier.uri	https://dspace.lib.ntua.gr/xmlui/handle/123456789/13833
dc.subject	M3-Competition	en
dc.subject	time series	en
dc.subject	univariate forecasting method	en
dc.subject.classification	Economics	en
dc.subject.classification	Management	en
dc.subject.other	TIME-SERIES	en
dc.subject.other	TRENDS	en
dc.title	The theta model: a decomposition approach to forecasting	en
heal.type	journalArticle	en
heal.identifier.primary	10.1016/S0169-2070(00)00066-2	en
heal.identifier.secondary	http://dx.doi.org/10.1016/S0169-2070(00)00066-2	en
heal.language	English	en
heal.publicationDate	2000	en
heal.abstract	This paper presents a new univariate forecasting method. The method is based on the concept of modifying the local curvature of the time-series through a coefficient 'Theta' (the Greek letter theta), that is applied directly to the second differences of the data. The resulting series that are created maintain the mean and the slope of the original data but not their curvatures. These new time series are named Theta-lines. Their primary qualitative characteristic is the improvement of the approximation of the long-term behavior of the data or the augmentation of the short-term features, depending on the value of the Theta coefficient. The proposed method decomposes the original time series into two or more different Theta-lines. These are extrapolated separately and the subsequent forecasts are combined. The simple combination of two Theta-lines, the Theta = 0 (straight line) and Theta = 2 (double local curves) was adopted in order to produce forecasts for the 3003 series of the M3 competition. The method performed well, particularly for monthly series and for microeconomic data. (C) 2000 Elsevier Science B.V. All rights reserved.	en
heal.publisher	ELSEVIER SCIENCE BV	en
heal.journalName	INTERNATIONAL JOURNAL OF FORECASTING	en
dc.identifier.doi	10.1016/S0169-2070(00)00066-2	en
dc.identifier.isi	ISI:000165421200009	en
dc.identifier.volume	16	en
dc.identifier.issue	4	en
dc.identifier.spage	521	en
dc.identifier.epage	530	en