Time-Series Forecasting Techniques

Standard Forecasting

Holdout Forecasting

Simple Lead Forecasting

Weighted Lead Forecasting

Time series—The original data, expressed as Y_t

Fit array—A retrofit of the time series, consisting of one-period-ahead forecasts performed from the data of previous periods; expressed as F_t

Residual array—A set of positive or negative residuals, expressed as r_t, and defined as r_t = Y_t – F_t

RMSE—Root mean square error for forecasting, calculated as described in RMSE, where n is the number of periods for which a fit is available. RMSE depends on the specific forecasting method and technique.

Forecasts—Value projections calculated using the formula for the specific method; they are 1 to k periods ahead, where k is the number of forecasts required

Standard error of forecasts—Used to calculate confidence intervals; see Confidence Intervals