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عنوان انگلیسی مقاله:
Models for optimising the theta method and their relationship to state space models
سال انتشار : 2016
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بخشی از مقاله انگلیسی:
4. Empirical evaluation
4.1. Design In order to obtain insights into the performances of the proposed models, STM, OTM, DSTM and DOTM, we present their accuracies compared to each other and to the STheta and SES-d approaches. A full list of the methods and models considered is presented in Table 1, along with the starting values for optimising the various parameters. Note that, to mimic what might be done in practice, the starting values are based on the model being used, and do not correspond mathematically to the mathematically equivalent models/method. We consider two variants of the SES-d model. The first considers a fixed value for b (equal to Bn/2). Assuming perfect optimisers, we should expect this version to produce the same forecasts as STheta and STM. The second version optimises the value of b and is mathematically equivalent to OTM. Perfect optimisers should also produce the same forecasts for these two models; that is, choices such as the starting values for the parameters should not matter. However, we know that different starting values may affect the optimal value of a parameter even for the same model. The parameter estimation is based on minimising the sum of squared errors (SSE) using the Nelder–Mead algorithm, as implemented in the optim() function of the R statistical software.
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کلمات کلیدی:
The Optimised Theta Method https://arxiv.org › stat by JA Fioruci - 2015 - Cited by 4 - Related articles Mar 11, 2015 - In this context, the Theta method called researchers attention due its performance in the largest up-to-date forecasting competition, the ... [PDF]Unmasking the Theta method - Rob J Hyndman https://robjhyndman.com/papers/Theta.pdf Sep 27, 2001 - Abstract: The “Theta method” of forecasting performed particularly well in ... formed particularly well in the M3-competition (Makridakis & Hibon, 2000), and is there- ... with fully optimized SES with drift by applying both methods to the ..... Relationships between the notation of this paper and A&N are given in ... [PDF]Time series forecasting, model competitions and the theta method impa.br/wp-content/uploads/2017/05/31CBM-st_JAFioruci.pdf May 31, 2017 - for the theta method, the winner of the largest time series com- petitions ... attention due to its performance and simplicity. The method, as im-. Theta Models function | R Documentation https://www.rdocumentation.org/packages/forecTheta/versions/2.2/.../Theta%20Model... Fiorucci J.A., Pellegrini T.R., Louzada F., Petropoulos F., Koehler, A. (2016). Models for optimising the theta method and their relationship to state space models, ... Forecasting Multivariate Time Series with the Theta Method ... onlinelibrary.wiley.com/doi/10.1002/for.2334/abstract by DD Thomakos - 2015 - Cited by 2 - Related articles Feb 26, 2015 - Forecasting Multivariate Time Series with the Theta Method ... In this study building on earlier work on the properties and performance of the univariate Theta method for a unit root ... Error : There seems to be a problem ... Models for optimising the theta method and their relationship to state space models, ... [PDF]Package 'forecTheta' https://cran.r-project.org/web/packages/forecTheta/forecTheta.pdf May 26, 2016 - The Optimised Theta Method. Free .... ing the theta method and their relationship to state space models, International Journal of Fore- casting.
