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).