[ABE-L] Fwd: Cartaz de divulgação de Palestra do Professor José Augusto(EST/UNB)

[Helton Saulo]

*Universidade de Brasília*



*O Programa de Pós-Graduação em Estatística convida para:*


*ALESTRA*

*Time series forecasting, model competitions and the theta method*



*Palestrante:  *Prof. José Augusto Fiorucci (UnB EST)

*DATA: *10/05/2018 (quinta-feira)

*HORÁRIO: *14:30h

*LOCAL: *Sala Multiuso (A1-7/76)

*Resumo*



In this talk we will present recent stochastic expansions of the theta
method, the winner of the largest time series competitions (M3-Competion),
which caught researchers' attention due to its performance and simplicity.
The Theta method, as implemented in the monthly subset of the
M3-Competiton, decomposes the seasonally adjusted data into two "theta
lines''. The first theta line removes the curvature of the data to estimate
the long-term trend component. The second theta line doubles the local
curvatures of the series to approximate the short-term behavior. The
proposed Dynamic Optimised Theta Model is a state space model that
optimally selects the best short-term theta line and dynamically revises
the long-term theta line. The superior performance of this model is
demonstrated through an empirical application in the M3-Competition
database.

Referências:
Makridakis, S. & Hibon, M. (2000). The M3-competition: results, conclusions
and implications. International Journal of Forecasting , 16, 451{476.
Fiorucci, J. A., Pellegrini, T. R., Louzada, F., Petropoulos, F. & Koehler,
A. B. (2016). Modelfor optimising the theta method and their relationship
to state space models. Internationa Journal of Forecasting, 32(4),
1151-1161.

Fiorucci, J. & Louzada, F. (2016). forecTheta: Forecasting Time Series by
Theta Models, R package version 2.2, CRAN.
-- 
Programa de Pós-Graduação em Estatística
Universidade de Brasília
www.pgest.unb.br
Telefone: (61) 3107-3697
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