It’s time to move from ‘what’ to ‘why’


Rob J Hyndman


16 October 2001

Publication details

International Journal of Forecasting 17(4), 567-570




(Invited commentary on M3 competition.)

We provide a new approach to automatic business forecasting based on an extended range of exponential smoothing methods. Each method in our taxonomy of exponential smoothing methods can be shown to be equivalent to the forecasts obtained from a state space model. This allows (1) the easy calculation of the likelihood, the AIC and other model selection criteria; (2) the computation of prediction intervals for each method; and (3) random simulation from the underlying state space model. We demonstrate the methods by applying them to the data from the M-competition and the M3-competition.