Hurst Exponent with ARIMA and Simple Exponential Smoothing for Measuring Persistency of M3- Competition Series

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AudienciaPúblico en generales_ES
CoberturaMéxicoes_ES
Fecha de ingreso2026-09-15T00:30:30Z
Fecha de publicación2019-01-01
ResumenThe Hurst exponent is a metric used to evaluate whether a time series exhibits long-term memory, and it is used to identify its complexity. Besides, forecasting methods are tested using time series from Makridakis competition. Additionally, Exponential Smoothing is among the best forecasting methods of this competition, and ARIMA is one of the most used for many applications. Nevertheless, the quality of using the Hurst exponent in Makridakis M3-Competition for measuring how well Simple Exponential Smoothing and ARIMA are adapted to a specific time series is unknown. In this work, we show the impact of applying the Hurst exponent using the complete set of series from the M3-Competition. We used k-means as clustering algorithm for the 3003 Hurst exponent values of these series, improving the visualization of all of the data to identify a relationship between Hurst exponent with MAPE and sMAPE forecasting error of the Simple Exponential Smoothing and ARIMA. Finally, the experimentation shows that Hurst exponent and MAPE for the tested methods are inversely related in most of the cases and that there is a trend between them.es_ES
Doihttps://doi.org/10.1109/tla.2019.8891950es_ES
URIhttps://riuat.uat.edu.mx/handle/123456789/2448
Idiomaeses_ES
EditorialInstitute of Electrical and Electronics Engineers (IEEE)es_ES
RelaciónIEEE Latin America Transactionses_ES
URL relacionadohttps://doi.org/10.1109/tla.2019.8891950es_ES
DerechosAcceso restringido / Suscripción (Metadatos de producción científica)es_ES
Licenciahttp://purl.org/coar/access_right/c_16eces_ES
FuenteIEEE Latin America Transactions
TítuloHurst Exponent with ARIMA and Simple Exponential Smoothing for Measuring Persistency of M3- Competition Serieses_ES
TipoArtículoes_ES
ArbitradoHa sido Arbitradoes_ES
AutorFlores, Mirna Patricia Ponce
AutorSolís, Juan Frausto
AutorValdez, Guadalupe Castilla
AutorBarbosa, Juan Javier González
AutorOrtega, Joaquín Pérez
AutorVillanueva, Jesús David Terán
AutorFlores, Mirna Patricia Poncees_ES
AutorSolís, Juan Fraustoes_ES
AutorValdez, Guadalupe Castillaes_ES
AutorBarbosa, Juan Javier Gonzálezes_ES
AutorOrtega, Joaquín Pérezes_ES
AutorVillanueva, Jesús David Teránes_ES
InstituciónUniversidad Autónoma de Tamaulipas
InstituciónUniversidad Autónoma de Tamaulipases_ES
Número05es_ES
Rango de páginas815-822es_ES
URL relacionadahttps://doi.org/10.1109/tla.2019.8891950
Tipo de artículoIndexado
Tipo de artículoIndexadoes_ES
Volumen17es_ES

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