The Theta method of forecasting performed particularly well in the M3-competition
and is therefore of interest to forecast practitioners. The description
of the method given by Assimakopoulos and Nikolopoulos (2000) involves
several pages of algebraic manipulation and is difficult to comprehend.
We show that the method can be expressed much more simply; furthermore
we show that the forecasts obtained are equivalent to simple exponential
smoothing with drift.
Keywords: exponential smoothing, forecasting competitions,
state space models.