A New Approach to Statistical Forecasting

Abstract

Available approaches to statistical forecasting suffer from several deficiencies (problems) that render their predictions for real-world economic/business series inappropriate. In this paper I illustrate such deficiencies, with real-world data, and propose a new approach that corrects their negative impact. In addition to being theoretically appealing, this new approach outperforms the best method of the M-Competition by a large margin when tested empirically.