The accuracy of extrapolation (time series) methods: Results of a forecasting competition

S. Makridakis, A. Andersen, R. Carbone, R. Fildes, M. Hibon, R. Lewandowski, J. Newton, E. Parzen, R. Winkler

Research output: Contribution to journalArticle

900 Citations (Scopus)

Abstract

In the last few decades many methods have become available for forecasting. As always, when alternatives exist, choices need to be made so that an appropriate forecasting method can be selected and used for the specific situation being considered. This paper reports the results of a forecasting competition that provides information to facilitate such choice. Seven experts in each of the 24 methods forecasted up to 1001 series for six up to eighteen time horizons. The results of the competition are presented in this paper whose purpose is to provide empirical evidence about differences found to exist among the various extrapolative (time series) methods used in the competition.

Original languageEnglish
Pages (from-to)111-153
Number of pages43
JournalJournal of Forecasting
Volume1
Issue number2
DOIs
Publication statusPublished - 1 Jan 1982

Keywords

  • Accuracy
  • Comparison
  • Empirical study
  • Evaluation
  • Forecasting
  • Time series

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  • Cite this

    Makridakis, S., Andersen, A., Carbone, R., Fildes, R., Hibon, M., Lewandowski, R., Newton, J., Parzen, E., & Winkler, R. (1982). The accuracy of extrapolation (time series) methods: Results of a forecasting competition. Journal of Forecasting, 1(2), 111-153. https://doi.org/10.1002/for.3980010202