Mcompetitions/M4-methods

M4 theta method (question)

skwskwskwskw opened this issue · 4 comments

skwskwskwskw commented

Hi,

Came across this topic when searching for existing forecast tool.
In respect to the method shown, is there any reference on the theta model exhibited? (i.e.: logic of the codes)

Much appreciated.

Mcompetitions commented

Sure. You may first have a look at the original paper of Assimakopoulos & Nikolopoulos, 2000. The theta model: a decomposition approach to forecasting. International Journal of Forecasting, 16 (4), 521-530.
It is available here:
https://www.sciencedirect.com/science/article/pii/S0169207000000662

The paper of Fiorucci et al., should also help you understand the principles of Theta.
https://www.sciencedirect.com/science/article/pii/S0169207016300243

skwskwskwskw commented

That's helpful. Before I proceed to drill down on the technical details, may I know if the "4" in method here (since it's coined as 4theta) symbolizes anything, with respect to either of the papers.

Thanks for answering my queries in advance. =)

Mcompetitions commented

Theta and 4Theta are actually two different methods. The former, as described in the first paper provided, is used as a benchmark in M4 as it was the best performing method of the previous forecasting Competition (M3). The latter is a submission made by Forecasting & Strategy Unit (NTUA).

4Theta has not been published yet, but some of the ideas utilised by the method are described here:
https://www.sciencedirect.com/science/article/pii/S0925527318300501

In brief, 4Theta uses the basic principles of Theta, but instead of considering only linear trends, it also utilises non-linear trends, as well as multiplicative and additive expressions of the original method. Thus, 4Theta generalises Theta and enables flexible, automatic forecasting.

Mcompetitions commented