Generalised Estimators for Seasonal Forecasting by Combining Grouping with Shrinkage Approaches
Article first published online: 9 OCT 2011
Copyright © 2011 John Wiley & Sons, Ltd.
Journal of Forecasting
Volume 32, Issue 2, pages 137–150, March 2013
How to Cite
Zhang, K., Chen, H., Boylan, J. and Scarf, P. (2013), Generalised Estimators for Seasonal Forecasting by Combining Grouping with Shrinkage Approaches. J. Forecast., 32: 137–150. doi: 10.1002/for.1254
- Issue published online: 28 JAN 2013
- Article first published online: 9 OCT 2011
- generalised estimator
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. Copyright © 2011 John Wiley & Sons, Ltd.