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Abstract

Forecasting has always been at the forefront of decision making and planning. The uncertainty that surrounds the future is both exciting and challenging, with individuals and organisations seeking to minimise risks and maximise utilities. The large number of forecasting applications calls for a diverse set of forecasting methods to tackle real-life challenges. This article provides a non-systematic review of the theory and the practice of forecasting. We provide an overview of a wide range of theoretical, state-of-the-art models, methods, principles, and approaches to prepare, produce, organise, and evaluate forecasts. We then demonstrate how such theoretical concepts are applied in a variety of real-life contexts. We do not claim that this review is an exhaustive list of methods and applications. However, we wish that our encyclopedic presentation will offer a point of reference for the rich work that has been undertaken over the last decades, with some key insights for the future of forecasting theory and practice. Given its encyclopedic nature, the intended mode of reading is non-linear. We offer cross-references to allow the readers to navigate through the various topics. We complement the theoretical concepts and applications covered by large lists of free or open-source software implementations and publicly-available databases.
International Journal of Forecasting 38 (2022) 705–871
Contents lists available at ScienceDirect
International Journal of Forecasting
journal homepage: www.elsevier.com/locate/ijforecast
Review
Forecasting: theory and practice
Fotios Petropoulos 1,, Daniele Apiletti 2, Vassilios Assimakopoulos 3,
Mohamed Zied Babai 4, Devon K. Barrow 5, Souhaib Ben Taieb 6,
Christoph Bergmeir 7, Ricardo J. Bessa 8, Jakub Bijak 9, John E. Boylan 10,
Jethro Browell 11, Claudio Carnevale 12, Jennifer L. Castle 13, Pasquale Cirillo 14,
Michael P. Clements 15, Clara Cordeiro 16,17, Fernando Luiz Cyrino Oliveira 18,
Shari De Baets 19, Alexander Dokumentov 20, Joanne Ellison 9, Piotr Fiszeder 21,
Philip Hans Franses 22, David T. Frazier 23, Michael Gilliland 24,
M. Sinan Gönül 25, Paul Goodwin 1, Luigi Grossi 26, Yael Grushka-Cockayne 27,
Mariangela Guidolin 26, Massimo Guidolin 28, Ulrich Gunter 29, Xiaojia Guo 30,
Renato Guseo 26, Nigel Harvey 31, David F. Hendry 32, Ross Hollyman 1,
Tim Januschowski 33, Jooyoung Jeon 34, Victor Richmond R. Jose 35,
Yanfei Kang 36, Anne B. Koehler 37, Stephan Kolassa 38,10,
Nikolaos Kourentzes 39,10, Sonia Leva 40, Feng Li 41, Konstantia Litsiou 42,
Spyros Makridakis 43, Gael M. Martin 23, Andrew B. Martinez 44,45,
Sheik Meeran 1, Theodore Modis 46, Konstantinos Nikolopoulos 47,
Dilek Önkal 25, Alessia Paccagnini 48,49, Anastasios Panagiotelis 50,
Ioannis Panapakidis 51, Jose M. Pavía 52, Manuela Pedio 53,54, Diego J. Pedregal 55,
Pierre Pinson 56, Patrícia Ramos 57, David E. Rapach 58, J. James Reade 59,
Bahman Rostami-Tabar 60, Michał Rubaszek 61, Georgios Sermpinis 62,
Han Lin Shang 63, Evangelos Spiliotis 3, Aris A. Syntetos 60, Priyanga
Dilini Talagala 64, Thiyanga S. Talagala 65, Len Tashman 66,
Dimitrios Thomakos 67, Thordis Thorarinsdottir 68, Ezio Todini 69,70, Juan
Ramón Trapero Arenas 55, Xiaoqian Wang 36, Robert L. Winkler 71,
Alisa Yusupova 10, Florian Ziel 72
1School of Management, University of Bath, UK
2Politecnico di Torino, Turin, Italy
3Forecasting and Strategy Unit, School of Electrical and Computer Engineering, National Technical University of Athens, Greece
4Kedge Business School, France
5Department of Management, Birmingham Business School, University of Birmingham, UK
6Big Data and Machine Learning Lab, Université de Mons (UMONS), Belgium
7Faculty of Information Technology, Monash University, Melbourne, Australia
8INESC TEC Institute for Systems and Computer Engineering, Technology and Science, Porto, Portugal
9Department of Social Statistics and Demography, University of Southampton, UK
10 Centre for Marketing Analytics and Forecasting, Lancaster University Management School, Lancaster University, UK
11 School of Mathematics and Statistics, University of Glasgow, UK
12 Department of Mechanical and Industrial Engineering, University of Brescia, Italy
13 Magdalen College, University of Oxford, UK
14 ZHAW School of Management and Law, Zurich University of Applied Sciences, Switzerland
Corresponding author.
E-mail addresses: f.petropoulos@bath.ac.uk,fotios@bath.edu (F. Petropoulos).
https://doi.org/10.1016/j.ijforecast.2021.11.001
0169-2070/©2021 The Author(s). Published by Elsevier B.V. on behalf of International Institute of Forecasters. This is an open access article under
the CC BY license (http://creativecommons.org/licenses/by/4.0/).