ThetaForecaster

class sktime.forecasting.theta.ThetaForecaster(initial_level=None, deseasonalize=True, sp=1)[source]

Theta method of forecasting.

The theta method as defined in 1 is equivalent to simple exponential smoothing (SES) with drift. This is demonstrated in 2.

The series is tested for seasonality using the test outlined in A&N. If deemed seasonal, the series is seasonally adjusted using a classical multiplicative decomposition before applying the theta method. The resulting forecasts are then reseasonalised.

In cases where SES results in a constant forecast, the theta forecaster will revert to predicting the SES constant plus a linear trend derived from the training data.

Prediction intervals are computed using the underlying state space model.

Parameters
  • initial_level (float, optional) – The alpha value of the simple exponential smoothing, if the value is set then this will be used, otherwise it will be estimated from the data.

  • deseasonalize (bool, optional (default=True)) – If True, data is seasonally adjusted.

  • sp (int, optional (default=1)) – The number of observations that constitute a seasonal period for a multiplicative deseasonaliser, which is used if seasonality is detected in the training data. Ignored if a deseasonaliser transformer is provided. Default is 1 (no seasonality).

initial_level_[source]

The estimated alpha value of the SES fit.

Type

float

drift_[source]

The estimated drift of the fitted model.

Type

float

se_[source]

The standard error of the predictions. Used to calculate prediction intervals.

Type

float

References

1

`Assimakopoulos, V. and Nikolopoulos, K. The theta model: a

decomposition

approach to forecasting. International Journal of Forecasting 16, 521-530, 2000. <https://www.sciencedirect.com/science/article/pii /S0169207000000662>`_

2

Hyndman, Rob J., and Billah, Baki. Unmasking the Theta method. International J. Forecasting, 19, 287-290, 2003.

__init__(initial_level=None, deseasonalize=True, sp=1)[source]

Initialize self. See help(type(self)) for accurate signature.