Article (Scientific journals)
Forecasting: theory and practice
Petropoulos, Fotios; Apiletti, Daniele; Assimakopoulos, Vassilios et al.
2022In International Journal of Forecasting
Peer Reviewed verified by ORBi
 

Files


Full Text
FTP.pdf
Author postprint (5.19 MB)
Download

All documents in ORBi UMONS are protected by a user license.

Send to



Details



Keywords :
Applications; Encyclopedia; Methods; Prediction; Principles; Review; Time series; Business and International Management; Statistics - Applications; Computer Science - Learning; econ.EM; Statistics - Machine Learning; stat.OT
Abstract :
[en] Forecasting has always been at the forefront of decision making and planning. The uncertainty that surrounds the future is both exciting and challenging, with individuals and organisations seeking to minimise risks and maximise utilities. The large number of forecasting applications calls for a diverse set of forecasting methods to tackle real-life challenges. This article provides a non-systematic review of the theory and the practice of forecasting. We provide an overview of a wide range of theoretical, state-of-the-art models, methods, principles, and approaches to prepare, produce, organise, and evaluate forecasts. We then demonstrate how such theoretical concepts are applied in a variety of real-life contexts. We do not claim that this review is an exhaustive list of methods and applications. However, we wish that our encyclopedic presentation will offer a point of reference for the rich work that has been undertaken over the last decades, with some key insights for the future of forecasting theory and practice. Given its encyclopedic nature, the intended mode of reading is non-linear. We offer cross-references to allow the readers to navigate through the various topics. We complement the theoretical concepts and applications covered by large lists of free or open-source software implementations and publicly-available databases.
Precision for document type :
Review article
Disciplines :
Mathematics
Business & economic sciences: Multidisciplinary, general & others
Computer science
Author, co-author :
Petropoulos, Fotios;  School of Management, University of Bath, United Kingdom
Apiletti, Daniele ;  Politecnico di Torino, Turin, Italy
Assimakopoulos, Vassilios;  Forecasting and Strategy Unit, School of Electrical and Computer Engineering, National Technical University of Athens, Greece
Babai, Mohamed Zied;  Kedge Business School, France
Barrow, Devon K.;  Department of Management, Birmingham Business School, University of Birmingham, United Kingdom
Ben Taieb, Souhaib;  Big Data and Machine Learning Lab, université de Mons (UMONS), Belgium
Bergmeir, Christoph ;  Faculty of Information Technology, Monash University, Melbourne, Australia
Bessa, Ricardo J.;  INESC TEC – Institute for Systems and Computer Engineering, Technology and Science, Porto, Portugal
Bijak, Jakub;  Department of Social Statistics and Demography, University of Southampton, United Kingdom
Boylan, John E.;  Centre for Marketing Analytics and Forecasting, Lancaster University Management School, Lancaster University, United Kingdom
Browell, Jethro;  School of Mathematics and Statistics, University of Glasgow, United Kingdom
Carnevale, Claudio;  Department of Mechanical and Industrial Engineering, University of Brescia, Italy
Castle, Jennifer L.;  Magdalen College, University of Oxford, United Kingdom
Cirillo, Pasquale ;  ZHAW School of Management and Law, Zurich University of Applied Sciences, Switzerland
Clements, Michael P. ;  ICMA Centre, Henley Business School, University of Reading, United Kingdom
Cordeiro, Clara ;  Faculdade de Ciências e Tecnologia, Universidade do Algarve, Portugal ; CEAUL, Faculdade de Ciências, Universidade de Lisboa, Portugal
Cyrino Oliveira, Fernando Luiz;  Pontifical Catholic University of Rio de Janeiro (PUC-Rio), Brazil
De Baets, Shari;  Department of Business Informatics and Operations Management, Faculty of Economics and Business Administration, Universiteit Gent, Belgium
Dokumentov, Alexander;  Let's Forecast, Australia
Ellison, Joanne;  Department of Social Statistics and Demography, University of Southampton, United Kingdom
Fiszeder, Piotr ;  Faculty of Economic Sciences and Management, Nicolaus Copernicus University in Torun, Poland
Franses, Philip Hans;  Econometric Institute, Erasmus School of Economics, Rotterdam, Netherlands
Frazier, David T.;  Department of Econometrics and Business Statistics, Monash University, Melbourne, Australia
Gilliland, Michael;  SAS, United States
Gönül, M. Sinan ;  Newcastle Business School, Northumbria University, United Kingdom
Goodwin, Paul;  School of Management, University of Bath, United Kingdom
Grossi, Luigi ;  Department of Statistical Sciences, University of Padua, Italy
Grushka-Cockayne, Yael;  Darden School of Business, University of Virginia, United States
Guidolin, Mariangela ;  Department of Statistical Sciences, University of Padua, Italy
Guidolin, Massimo;  Finance Department, Bocconi University and Baffi-CAREFIN Centre, Milan, Italy
Gunter, Ulrich;  Department of Tourism and Service Management, MODUL University Vienna, Austria
Guo, Xiaojia ;  Robert H. Smith School of Business, University of Maryland, United States
Guseo, Renato ;  Department of Statistical Sciences, University of Padua, Italy
Harvey, Nigel;  Department of Experimental Psychology, University College London, United Kingdom
Hendry, David F. ;  Nuffield College and Institute for New Economic Thinking at the Oxford Martin School, University of Oxford, United Kingdom
Hollyman, Ross;  School of Management, University of Bath, United Kingdom
Januschowski, Tim;  Amazon Research, Germany
Jeon, Jooyoung;  Korea Advanced Institute of Science and Technology, South Korea
Jose, Victor Richmond R.;  McDonough School of Business, Georgetown University, United States
Kang, Yanfei ;  School of Economics and Management, Beihang University, Beijing, China
Koehler, Anne B.;  Miami University, United States
Kolassa, Stephan;  Centre for Marketing Analytics and Forecasting, Lancaster University Management School, Lancaster University, United Kingdom ; SAP, Switzerland
Kourentzes, Nikolaos ;  Centre for Marketing Analytics and Forecasting, Lancaster University Management School, Lancaster University, United Kingdom ; Skövde Artificial Intelligence Lab, School of Informatics, University of Skövde, Sweden
Leva, Sonia;  Department of Energy, Politecnico di Milano, Italy
Li, Feng ;  School of Statistics and Mathematics, Central University of Finance and Economics, Beijing, China
Litsiou, Konstantia;  Manchester Metropolitan University Business School, United Kingdom
Makridakis, Spyros;  M Open Forecasting Center & Institute for the Future, University of Nicosia, Nicosia, Cyprus
Martin, Gael M.;  Department of Econometrics and Business Statistics, Monash University, Melbourne, Australia
Martinez, Andrew B. ;  Office of Macroeconomic Analysis, US Department of the Treasury, Washington, DC, United States ; GWU Research Program on Forecasting, Washington, DC, United States
Meeran, Sheik;  School of Management, University of Bath, United Kingdom
Modis, Theodore;  Growth Dynamics, Lugano, Switzerland
Nikolopoulos, Konstantinos;  Durham University Business School, Durham University, United Kingdom
Önkal, Dilek;  Newcastle Business School, Northumbria University, United Kingdom
Paccagnini, Alessia ;  Michael Smurfit Business School, University College Dublin, Ireland ; Centre for Applied Macroeconomic Analysis, Australia
Panagiotelis, Anastasios ;  Discipline of Business Analytics, The University of Sydney Business School, Australia
Panapakidis, Ioannis;  Department of Electrical and Computer Engineering, University of Thessaly, Volos, Greece
Pavía, Jose M. ;  GIPEyOP, UMMICS, Department of Applied Economics, Universitat de Valencia, Spain
Pedio, Manuela;  School of Accounting and Finance, University of Bristol, United Kingdom ; Baffi-CAREFIN Centre, Bocconi University, Italy
Pedregal, Diego J. ;  ETSI Industrial, Universidad de Castilla-La Mancha, Ciudad Real, Spain
Pinson, Pierre;  Department of Technology, Management and Economics, Technical University of Denmark, Denmark
Ramos, Patrícia ;  Porto Accounting and Business School, Polytechnic of Porto, Portugal
Rapach, David E.;  Department of Economics, Saint Louis University, United States
Reade, J. James;  Department of Economics, School of Politics, Economics and International Relations, University of Reading, United Kingdom
Rostami-Tabar, Bahman;  Cardiff Business School, Cardiff University, United Kingdom
Rubaszek, Michał ;  SGH Warsaw School of Economics, Collegium of Economic Analysis, Poland
Sermpinis, Georgios;  Adam Smith Business School, University of Glasgow, United Kingdom
Shang, Han Lin ;  Department of Actuarial Studies and Business Analytics, Macquarie University, Australia
Spiliotis, Evangelos;  Forecasting and Strategy Unit, School of Electrical and Computer Engineering, National Technical University of Athens, Greece
Syntetos, Aris A.;  Cardiff Business School, Cardiff University, United Kingdom
Talagala, Priyanga Dilini ;  Department of Computational Mathematics, University of Moratuwa, Sri Lanka
Talagala, Thiyanga S.;  Department of Statistics, Faculty of Applied Sciences, University of Sri Jayewardenepura, Sri Lanka
Tashman, Len;  Foresight, International Institute of Forecasters, United States
Thomakos, Dimitrios;  School of Economics and Political Science, National and Kapodistrian University of Athens, Greece
Thorarinsdottir, Thordis;  Norwegian Computing Center, Oslo, Norway
Todini, Ezio ;  University of Bologna, Italy ; Italian Hydrological Society, Bologna, Italy
Trapero Arenas, Juan Ramón ;  ETSI Industrial, Universidad de Castilla-La Mancha, Ciudad Real, Spain
Wang, Xiaoqian ;  School of Economics and Management, Beihang University, Beijing, China
Winkler, Robert L.;  Fuqua School of Business, Duke University, Durham, United States
Yusupova, Alisa;  Centre for Marketing Analytics and Forecasting, Lancaster University Management School, Lancaster University, United Kingdom
Ziel, Florian ;  House of Energy Markets and Finance, University of Duisburg–Essen, Germany
Ben Taieb, Souhaib  ;  Université de Mons - UMONS > Faculté des Sciences > Service Big Data and Machine Learning
More authors (71 more) Less
Language :
English
Title :
Forecasting: theory and practice
Publication date :
2022
Journal title :
International Journal of Forecasting
ISSN :
0169-2070
eISSN :
1872-8200
Publisher :
Elsevier B.V.
Peer reviewed :
Peer Reviewed verified by ORBi
Research unit :
S861 - Big Data and Machine Learning
Research institute :
Infortech
Complexys
Funding text :
David F. Hendry gratefully acknowledges funding from the Robertson Foundation, USA and Nuffield College, UK .Mariangela Guidolin acknowledges the support of the University of Padua, Italy , through the grant BIRD188753/18 .Piotr Fiszeder was supported by the National Science Centre, Poland project number 2016/21/B/HS4/00662 entitled “Multivariate volatility models - the application of low and high prices”.David T. Frazier has been supported by Australian Research Council (ARC) Discovery Grants DP170100729 and DP200101414 , and ARC Early Career Researcher Award DE200101070 .Joanne Ellison acknowledges the support of the ESRC FertilityTrends project (grant number ES/S009477/1) and the ESRC Centre for Population Change (grant number ES/R009139/1) .Fotios Petropoulos would like to thank all the co-authors of this article for their very enthusiastic response and participation in this initiave. He would also like to thank Pierre Pinson for inviting this paper to be submitted to the International Journal of Forecasting. The constructive comments and suggestions from this advisory board were vital in improving the paper. He also thanks Artur Tarassow for offering a list of Gretl's software functionalities. Jakub Bijak's work received funding from the European Union's Horizon 2020 research and innovation programme, grant 870299 QuantMig: Quantifying Migration Scenarios for Better Policy. Clara Cordeiro is partially financed by national funds through FCT ? Funda??o para a Ci?ncia e a Tecnologia, Portugal under the project UIDB/00006/2020. Fernando Luiz Cyrino Oliveira acknowledges the support of the Coordination for the Improvement of Higher Level Personnel (CAPES), Brazil ? grant number 001, the Brazilian National Council for Scientific and Technological Development (CNPq) ? grant number 307403/2019-0, and the Carlos Chagas Filho Research Support Foundation of the State of Rio de Janeiro (FAPERJ) ? grant numbers 202.673/2018 and 211.086/2019. Shari De Baets was funded by the FWO Research Foundation Flanders. Joanne Ellison acknowledges the support of the ESRC FertilityTrends project (grant number ES/S009477/1) and the ESRC Centre for Population Change (grant number ES/R009139/1). Piotr Fiszeder was supported by the National Science Centre, Poland project number 2016/21/B/HS4/00662 entitled ?Multivariate volatility models - the application of low and high prices?. David T. Frazier has been supported by Australian Research Council (ARC) Discovery Grants DP170100729 and DP200101414, and ARC Early Career Researcher AwardDE200101070. Mariangela Guidolin acknowledges the support of the University of Padua, Italy, through the grant BIRD188753/18. David F. Hendry gratefully acknowledges funding from the Robertson Foundation, USA and Nuffield College, UK. Yanfei Kang acknowledges the support of the National Natural Science Foundation of China (number 11701022) and the National Key Research and Development Program, China (number 2019YFB1404600). Stephan Kolassa would like to thank Tilmann Gneiting for some very helpful tips. Gael M. Martin has been supported by Australian Research Council (ARC) Discovery Grants DP170100729 and DP200101414. Alessia Paccagnini acknowledges the research support by COST Action ?Fintech and Artificial Intelligence in Finance - Towards a transparent financial industry? (FinAI)CA19130. Jose M. Pav?a acknowledges the support of the Spanish Ministry of Science, Innovation and Universities and the Spanish Agency of Research, co-funded with FEDER funds, grant ECO2017-87245-R, and of Conseller?a d'Innovaci?, Universitats, Ci?ncia i Societat Digital, Generalitat Valenciana ? grant number AICO/2019/053. Diego J. Pedregal and Juan Ramon Trapero Arenas acknowledge the support of the European Regional Development Fund and Junta de Comunidades de Castilla-La Mancha (JCCM/FEDER, UE) under the project SBPLY/19/180501/000151 and by the Vicerrectorado de Investigaci?n y Pol?tica Cient?fica from UCLM, Spain through the research group fund program PREDILAB; DOCM 26/02/2020 [2020-GRIN-28770]. David E. Rapach thanks Ilias Filippou and Guofu Zhou for valuable comments. J. James Reade and Han Lin Shang acknowledge Shixuan Wang for his constructive comments. Micha? Rubaszek is thankful for the financial support provided by the National Science Centre, Poland, grant No. 2019/33/B/HS4/01923 entitled ?Predictive content of equilibrium exchange rate models?. The views expressed in this paper are those of the authors and do not necessarily reflect the views of their affiliated institutions and organisations.Clara Cordeiro is partially financed by national funds through FCT – Fundação para a Ciência e a Tecnologia, Portugal under the project UIDB/00006/2020 .Yanfei Kang acknowledges the support of the National Natural Science Foundation of China (number 11701022 ) and the National Key Research and Development Program, China (number 2019YFB1404600 ).Shari De Baets was funded by the FWO Research Foundation Flanders .Michał Rubaszek is thankful for the financial support provided by the National Science Centre, Poland , grant No. 2019/33/B/HS4/01923 entitled “Predictive content of equilibrium exchange rate models”.Jose M. Pavía acknowledges the support of the Spanish Ministry of Science, Innovation and Universities and the Spanish Agency of Research, co-funded with FEDER funds , grant ECO2017-87245-R , and of Consellería d’Innovació, Universitats, Ciència i Societat Digital, Generalitat Valenciana – grant number AICO/2019/053 .Alessia Paccagnini acknowledges the research support by COST Action “Fintech and Artificial Intelligence in Finance - Towards a transparent financial industry” (FinAI) CA19130 .Gael M. Martin has been supported by Australian Research Council (ARC) Discovery Grants DP170100729 and DP200101414 .Fernando Luiz Cyrino Oliveira acknowledges the support of the Coordination for the Improvement of Higher Level Personnel (CAPES), Brazil – grant number 001 , the Brazilian National Council for Scientific and Technological Development (CNPq) – grant number 307403/2019-0 , and the Carlos Chagas Filho Research Support Foundation of the State of Rio de Janeiro (FAPERJ) – grant numbers 202.673/2018 and 211.086/2019 .Diego J. Pedregal and Juan Ramon Trapero Arenas acknowledge the support of the European Regional Development Fund and Junta de Comunidades de Castilla-La Mancha (JCCM/FEDER, UE) under the project SBPLY/19/180501/000151 and by the Vicerrectorado de Investigación Política Científica from UCLM, Spain through the research group fund program PREDILAB; DOCM 26/02/2020 [2020-GRIN-28770].Jakub Bijak’s work received funding from the European Union’s Horizon 2020 research and innovation programme , grant 870299 QuantMig: Quantifying Migration Scenarios for Better Policy.
Available on ORBi UMONS :
since 10 May 2022

Statistics


Number of views
34 (1 by UMONS)
Number of downloads
253 (0 by UMONS)

Scopus citations®
 
533
Scopus citations®
without self-citations
449
OpenCitations
 
45
OpenAlex citations
 
595

Bibliography


Similar publications



Contact ORBi UMONS