5.12 Further reading

  • Ord et al. (2017) provides further discussion of simple benchmark forecasting methods.
  • A review of forecast evaluation methods is given in Hyndman & Koehler (2006), looking at the strengths and weaknesses of different approaches. This is the paper that introduced the MASE as a general-purpose forecast accuracy measure.
  • For a discussion of forecasting using STL, see Theodosiou (2011).
  • An excellent discussion of evaluating distributional forecast accuracy is provided by Gneiting & Katzfuss (2014).

Bibliography

Gneiting, T., & Katzfuss, M. (2014). Probabilistic forecasting. Annual Review of Statistics and Its Application, 1(1), 125–151. https://doi.org/10.1146/annurev-statistics-062713-085831
Hyndman, R. J., & Koehler, A. B. (2006). Another look at measures of forecast accuracy. International Journal of Forecasting, 22(4), 679–688. https://doi.org/10.1016/j.ijforecast.2006.03.001
Ord, J. K., Fildes, R., & Kourentzes, N. (2017). Principles of business forecasting (2nd ed.). Wessex Press Publishing Co. http://amazon.com/dp/0999064916
Theodosiou, M. (2011). Forecasting monthly and quarterly time series using STL decomposition. International Journal of Forecasting, 27(4), 1178–1195. https://doi.org/10.1016/j.ijforecast.2010.11.002