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Exponentially Weighted Methods for Forecasting Intraday Time Series with Multiple Seasonal Cycles

Abstract:

This paper introduces five new univariate exponentially weighted methods for forecasting intraday time series that contain both intraweek and intraday seasonal cycles. Applications of relevance include forecasting volumes of call centre arrivals, transportation, e-mail traffic and electricity loads. The first method that we develop extends an exponential smoothing formulation that has been used for daily sales data, and which involves smoothing the total weekly volume and its split across the...

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Publication date:
2010-10-05
URN:
uuid:e511e566-d570-4ae0-af9f-e6bdd48ad071
Local pid:
oai:eureka.sbs.ox.ac.uk:1703

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