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Using Evolutionary Spectra to Forecast Time Series

Author

Listed:
  • Elizabeth Ann Maharaj

Abstract

In this paper, an adaptive smoothing forecasting approach based on evolutionary spectra as developed by Rao and Shapiro (1970) is applied to the 3003 time series of various types and lengths used in the M3-Competition (Makridakis and Hibon, 2000). Comparisons of out-of-sample forecasts are made with other methods used in the M3-Competition via the symmetric mean absolute percentage error (SMAPE). It will be seen that this method does appear to perform very well when applied specifically to yearly, quarterly and monthly macro time series and to yearly and monthly demographic time series used in the competition.

Suggested Citation

  • Elizabeth Ann Maharaj, 2003. "Using Evolutionary Spectra to Forecast Time Series," Monash Econometrics and Business Statistics Working Papers 4/03, Monash University, Department of Econometrics and Business Statistics.
    • Handle: RePEc:msh:ebswps:2003-4
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    File URL: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2003/wp4-03.pdf
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    More about this item

    Keywords

    Evolutionary Spectra; Adaptive Smoothing; M3-Competition;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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