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Multivariate exponential smoothing for forecasting tourist arrivals to Australia and New Zealand
journal contributionposted on 2022-11-01, 04:02 authored by George Athanasopoulos, Ashton de Silva
In this paper we propose a new set of multivariate stochastic models that capture time varying seasonality within the vector innovations structural time series (VISTS) framework. These models encapsulate exponential smoothing methods in a multivariate setting. The models considered are the local level, local trend and damped trend VISTS models with an additive multivariate seasonal component. We evaluate their performances for forecasting international tourist arrivals from eleven source countries to Australia and New Zealand.