Bergmeir, Christoph; Hyndman, Rob J; Benitez, Jose M - Department of Econometrics and Business Statistics, … - 2014
Exponential smoothing is one of the most popular forecasting methods. We present a method for bootstrap aggregation (bagging) of exponential smoothing methods. The bagging uses a Box-Cox transformation followed by an STL decomposition to separate the time series into trend, seasonal part, and...