Fathoming the theta method for a unit root process
By Dimitrios D. Thomakos, Konstantinos Nikolopoulos. 2014
26 citations recorded by the source corpus.
In this paper, building on earlier work by Assimakopoulos and Nikolopoulos ([2000. The theta model: a decomposition approach to forecasting. Int. J. Forecast., 16, 521–530], hereafter AN (b) we demonstrate that the optimal forecast function for the model examined in A&N is identical with that of ARIMA(1,1,0) and (c) we provide formulae for optimal weights when combining two ‘theta lines’ as in the model used by A&N in M3 competition—rather than an optimal value for the drift as in H&B. The paper concludes with a series of simulations as well as empirical investigations on the M3 yearly data.
Subfields: Economics and Econometrics, Management Science and Operations Research
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Konstantinos Nikolopoulos
- Evangelos Spiliotis
- Vassilios Assimakopoulos
- Fotios Petropoulos
- Rob J Hyndman
- Spyros Makridakis
- Boris N. Oreshkin
- Rafal Weron
In Management Science and Operations Research
- Evangelos Spiliotis
- Konstantinos Nikolopoulos
- Vassilios Assimakopoulos
- Fotios Petropoulos
- Spyros Makridakis
- Rob J Hyndman
- Alexei Botchkarev
- Slawek Smyl
Citations in the corpus
- Forecasting with a hybrid method utilizing data smoothing, a variation of the Theta method and shrinkage of seasonal factors (2018, methodology): “As reported, this phenomenon could also be mitigated by selecting a better θ coefficient for the classic double-lined Theta model (Thomakos and Nikolopoulos, 2014).”