I used tbats to fit a model to a set of 3 years of historic data for daily number of shipments moved by a trucking company. my data included double seasonality so I used tbats. However, tbats did not consider holidays and the point forecast for holidays of the test data were very off from the actual data. This makes total sense as I did not include holidays in my forecast. Is it reasonable that I use this forecasting model but for holidays, I basically use the average value of that holiday day over the historic data as the point forecast? I tried arima with fourier series to include seasonality and regressors to include holiday but the fitted model was much worse than the tbats one. It worked better for holidays but was not accurate enough for other days.

  • $\begingroup$ Did you try using dummies for the holidays? Use the xreg parameter to arima() - this also works for tbats(), as it is passed through to auto.arima(), which models the errors. $\endgroup$ – S. Kolassa - Reinstate Monica Sep 25 '14 at 16:27
  • $\begingroup$ do you mean that I can use xreg for tbats as well? could you please give me a reference which shows the related command for that?Thank you $\endgroup$ – user12 Sep 25 '14 at 16:29
  • $\begingroup$ Here you go. $\endgroup$ – S. Kolassa - Reinstate Monica Sep 25 '14 at 16:30

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