Multi-step ahead tourism demand forecasting: The perspective of the learning using privileged information paradigm

•Multi-step ahead demand forecasting is an important and cutting-edge research topic.•An effective forecasting approach incorporating privileged information is proposed.•The new paradigm (termed learning using privileged information (LUPI)) is imployed.•LUPI can efficiently grasp and model nonlinear characteristics of tourism data.•The empirical results verify its superiority and robustness with different samples.