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Forecasting Time Series with Multiple Seasonal Patterns

Gould, Phillip G; Koehler, Anne B.; Ord, J Keith; Snyder, Ralph; Hyndman, Rob; Vahid, Farshid


A new approach is proposed for forecasting a time series with multiple seasonal patterns. A state space model is developed for the series using the innovations approach which enables us to develop explicit models for both additive and multiplicative seasonality. Parameter estimates may be obtained using methods from exponential smoothing. The proposed model is used to examine hourly and daily patterns in hourly data for both utility loads and traffic flows. Our formulation provides a model for...[Show more]

CollectionsANU Research Publications
Date published: 2008
Type: Journal article
Source: European Journal of Operational Research
DOI: 10.1016/j.ejor.2007.08.024


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