Statistical Foundations of Exponential Smoothing

In this paper the exponential smoothing methods of forecasting are rationalized in terms of a statistical state space model with only one primary source of randomness. Their link, in general terms, with the ARMA class of models ( both stationary and nonstationary cases) is also explored.


Issue Date:
Feb 01 1988
Publication Type:
Working or Discussion Paper
Language:
English
Total Pages:
24
Series Statement:
Working Paper No. 5/88




 Record created 2018-01-19, last modified 2018-01-22

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