Volume 16 Issue 4 (October-December 2000)
The M3- Competition
edited by J. K. Ord, M. Hibon, S. Makridakis
A note on the Robust Trend and ARARMA methodologies used in the M3 Competition
This brief note describes two of the forecasting methods used in the M3 Competition, Robust Trend and ARARMA. The origins of these methods are very different. Robust Trend was introduced to model the special features of some telecommunications time series. It was subsequently found to be competitive with Holt's linear model for the more varied set of time series used in the M1 Competition. The ARARMA methodology was proposed by Parzen as a general time series modelling procedure, and can be thought of as an alternative to the ARIMA methodology of Box and Jenkins. This method was used in the M1 Competition and achieved the lowest mean absolute percentage error for longer forecasting horizons. These methods will be described in more detail and some comments on their use in the M3 Competition conclude this note.