Regression model
The Theta Method
The Theta Method is a univariate time-series forecasting model introduced by Assimakopoulos and Nikolopoulos in 2000. It decomposes a series into two theta lines that capture its long-run trend and its short-run dynamics, forecasts each line separately, and combines them by a weighted average. Its simplicity and accuracy made it the winner of the M3 forecasting competition.
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Sources
- Assimakopoulos, V. & Nikolopoulos, K. (2000). The Theta Model: A Decomposition Approach to Forecasting. International Journal of Forecasting, 16(4), 521-530. DOI: 10.1016/S0169-2070(00)00066-2 ↗
- Makridakis, S. & Hibon, M. (2000). The M3-Competition: Results, Conclusions and Implications. International Journal of Forecasting, 16(4), 451-476. DOI: 10.1016/S0169-2070(00)00057-1 ↗