Minimum sample size requirements for seasonal forecasting models

Rob J Hyndman, Andrey V Kostenko
(2007) Foresight: the International Journal of Applied Forecasting 6, 12-15


How much data do you need to forecast using a seasonal model? The answer depends on the type of model being used and the amount of random variation in the data. We discuss the mathematical limits for estimating various common seasonal forecasting models from data. These limits apply when the amount of random variation is very small. Real data often contain a lot of random variation, and then many more observations are required.

Keywords: time series models, forecasting, seasonality, short data