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Nikolopoulos, Kostas I.

Forecasting With The Theta Method: Theory and Applications

Nikolopoulos, Kostas I. - Forecasting With The Theta Method: Theory and Applications, ebook

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ISBN: 9781119320753
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The first book to be published on the Theta method, outlining under what conditions the method outperforms other forecasting methods

This book is the first to detail the Theta method of forecasting–one of the most difficult-to-beat forecasting benchmarks, which topped the biggest forecasting competition in the world in 2000: the M3 competition. Written by two of the leading experts in the forecasting field, it illuminates the exact replication of the method and under what conditions the method outperforms other forecasting methods. Recent developments such as multivariate models are also included, as are a series of practical applications in finance, economics, and healthcare. The book also offers practical tools in MS Excel and guidance, as well as provisional access, for the use of R source code and respective packages.

Forecasting with the Theta Method: Theory and Applicationsincludes three main parts. The first part, titled Theory, Methods, Models & Applications details the new theory about the method. The second part, Applications & Performance in Forecasting Competitions, describes empirical results and simulations on the method. The last part roadmaps future research and also include contributions from another leading scholar of the method – Dr. Fotios Petropoulos.

  • First ever book to be published on the Theta Method
  • Explores new theory and exact conditions under which methods would outperform most forecasting benchmarks
  • Clearly written with practical applications
  • Employs R–open source code with all included implementations

Forecasting with the Theta Method: Theory and Applicationsis a valuable tool for both academics and practitioners involved in forecasting and respective software development.

Keywords:

Theta method; Theta model; Theta lines; Theta Parameter; Extrapolation; Smoothing; Trend; Regression; Exponential Smoothing; Error metric; Rolling window; Rolling Evaluation; Error; Percentage Error; RMSE; MAE; SSR; Direction; ARIMA; AR(1); SES; Benchmark; Bivariate; Multivariate; forecasting; financial forecasting; financial analysis; financial modelling; financial economics; the Theta method of forecasting; economics forecasting; finance forecasting; Forecasting with the Theta Method: Theory and Applications

, Time Series, Econometrics, Time Series, Econometrics
Author(s)
 
Publisher
John Wiley and Sons, Inc.
Publication year
2019
Language
en
Edition
1
Page amount
200 pages
Format
Ebook
eISBN (ePUB)
9781119320753
Printed ISBN
9781119320760

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