Classical Methods — Exponential Smoothing and ARIMA
Before neural networks, two families of methods dominated forecasting for decades — and they still win surprisingly often. Exponential smoothing and ARIMA are the classical workhorses: well-understood, fast, interpretable, and shockingly hard to beat on many real series. This post explains both without heavy math, and makes the case that for a lot of forecasting, the right answer is still a classical model, not a deep one.
Before neural networks, two families dominated — and still win surprisingly often. Exponential smoothing (weighted memory of the past; Holt-Winters) and ARIMA (modeling autocorrelation directly). Why classical methods remain state-of-the-art for much real forecasting (strong on limited data, fast, interpretable, hard to beat — the M-competition result).