Damping seasonal factors: Shrinkage estimators for the X-12-ARIMA program

By Don Miller, Daniel W. Williams. 2004

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Golden Rule of Forecasting: Be conservative (2015, unknown): “Miller and Williams (2004) damped the seasonal factors for the 1,428 monthly series of the M3-Competition based on the degree of variability.”
25 years of time series forecasting (2006, background): “Miller & Williams (2003, 2004) showed that greater forecasting accuracy is obtained by shrinking the seasonal component towards zero.”
Findings from Evidence-Based Forecasting: Methods for Reducing Forecast Error (2006, background): “Miller and Williams (2003, 2004) developed a procedure for damping seasonal factors.”
25 Years of IIF Time Series Forecasting: A Selective Review (2005, background): “Miller & Williams (2003, 2004) showed that greater forecasting accuracy is obtained by shrinking the seasonal component towards zero.”
Forecasting and operational research: a review (2008, background): “Examples can be found in Bunn and Vassilopoulos (1999), Dekker et al (2004) and Miller and Williams (2004).”