Lancaster EPrints (Lancaster University)
On the use of multi-step cost functions for generating forecasts
January 2018 • Nikolaos Kourentzes, Juan R. Trapero
Accurate forecasts are of principal importance for operations. Exponential smoothing is widely used due to its simplicity, relatively good forecast accuracy, ease of implementation and automation. The literature has continuously improved upon many of its initial limitations, yet novel applications of exponential smoothing have brought new forecasting challenges that have revealed additional pitfalls in its use. In this work, we examine potential reasons for these issues and argue that special attention should be d…