Reply to the discussion of: Exponentially weighted methods for forecasting intraday time series with multiple seasonal cycles

Content Provider	Semantic Scholar
Author	Taylor, James Welch
Copyright Year	2010
Abstract	Alysha De Livera’s discussion focuses on the transformation of the data and the inclusion of ARMA terms for the residuals of the exponential smoothing models. Drawing on the formulation for the HWT model, I implemented all exponential smoothing models with an AR(1) term included for the residual. In my paper, I applied a logarithmic transformation to the NHS Direct data prior to fitting all methods. The BATS model, presented in Alysha De Livera’s discussion, is a generalisation of the implementation of the HWT model in my paper, with a Box-Cox transformation and ARMA terms of different lags for the residual.
Starting Page	658
Ending Page	660
Page Count	3
File Format	PDF HTM / HTML
DOI	10.1016/j.ijforecast.2010.08.001
Alternate Webpage(s)	http://users.ox.ac.uk/~mast0315/MultSeasExpWtdMethods.pdf
Alternate Webpage(s)	https://doi.org/10.1016/j.ijforecast.2010.08.001
Volume Number	26
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Letter